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Stochastic Global Optimization: A Review on the Occasion of 25 Years of Informatica
Volume 27, Issue 2 (2016), pp. 229–256
Antanas Žilinskas   Anatoly Zhigljavsky  

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https://doi.org/10.15388/Informatica.2016.83
Pub. online: 1 January 2016      Type: Research Article     

Received
1 December 2015
Accepted
1 April 2016
Published
1 January 2016

Abstract

This is a survey of the main achievements in the methodology and theory of stochastic global optimization. It comprises two complimentary directions: global random search and the methodology based on the use of stochastic models about the objective function. The main attention is paid to theoretically substantiated methods and mathematical results proven in the last 25 years.

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Vilnius University

Keywords
global optimization statistical models extreme value statistics random search kriging

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