Stochastic Global Optimization - Anatoly Zhigljavsky

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Résumé :
This book aims to cover major methodological and theoretical developments in the ?eld of stochastic global optimization. This ?eld includes global random search and methods based on probabilistic assumptions about the objective function. We discuss the basic ideas lying behind the main algorithmic schemes, formulate the most essential algorithms and outline the ways of their theor- ical investigation. We try to be mathematically precise and sound but at the same time we do not often delve deep into the mathematical detail, referring instead to the corresponding literature. We often do not consider the most g- eral assumptions, preferring instead simplicity of arguments. For example, we only consider continuous ?nite dimensional optimization despite the fact that some of the methods can easily be modi?ed for discrete or in?nite-dimensional optimization problems. The authors? interests and the availability of good surveys on particular topics have in uenced the choice of material in the book. For example, there are excellent surveys on simulated annealing (both on theoretical and - plementation aspects of this method) and evolutionary algorithms (including genetic algorithms). We thus devote much less attention to these topics than they merit, concentrating instead on the issues which are not that well d- umented in literature. We also spend more time discussing the most recent ideas which have been proposed in the last few years.

Biographie:
Nina Golyandina received her MSc and PhD degrees in mathematics at St.Petersburg State University, Russia, in 1985 and 1998, respectively. She started to work at St.Petersburg State University in 1985, where she is currently an Associate Professor of Statistical Modelling Department, Faculty of Mathematics and Mechanics. Her main areas of research interest are statistical modeling and applied statistics, especially time series investigation by means of singular spectrum analysis. Dr. Golyandina is the coauthor of three monographs on singular spectrum analysis and of more than 30 research papers in refereed journals related to applied probability and statistics. During last twenty years, she was involved in different projects related to singular spectrum analysis. Anatoly Zhigljavsky has received his BSc, MSc and PhD degrees in mathematics and statistics at Faculty of Mathematics, St.Petersburg State University. He became professor of statistics at the St.Petersburg StateUniversity in 1989. Since 1997 he is a professor, Chair in Statistics at Cardiff University. Anatoly Zhigljavsky is the author or co-author of 10 monographs on the topics of time series analysis, stochastic global optimization, optimal experimental design and dynamical systems...

Sommaire:
Basic Concepts and Ideas.- Global Random Search: Fundamentals and Statistical Inference.- Global Random Search: Extensions.- Methods Based on Statistical Models of Multimodal Functions.