Filter-based DIRECT method for constrained global optimization

By Costa, M.F.P.; Rocha, A.M.A.C.; Fernandes, E.M.G.P.

Journal of Global Optimization

2018

Abstract

This paper presents a DIRECT-type method that uses a filter methodology to assure convergence to a feasible and optimal solution of nonsmooth and nonconvex constrained global optimization problems. The filter methodology aims to give priority to the selection of hyperrectangles with feasible center points, followed by those with infeasible and non-dominated center points and finally by those that have infeasible and dominated center points. The convergence properties of the algorithm are analyzed. Preliminary numerical experiments show that the proposed filter-based DIRECT algorithm gives competitive results when compared with other DIRECT-type methods.

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