INFORMATICA

Informatica

0868-49520868-4952

INFO1097

10.15388/Informatica.2016.83

Research Article

Stochastic Global Optimization: A Review on the Occasion of 25 Years of Informatica

Žilinskas

Antanas

antanas.zilinskas@mii.vu.lt* Zhigljavsky

Anatoly

zhigljavskyaa@cardiff.ac.uk Institute of Mathematics and Informatics, Vilnius University, Akademijos 4, LT-08663, Vilnius, Lithuania School of Mathematics, Cardiff University, Cardiff CF21 1AG, UK Lobachevsky Nizhny Novgorod State University, 23 Prospekt Gagarina, 603950 Nizhny Novgorod, Russia

*Corresponding author.

01012016

2722292560112 20150104 2016

Vilnius University

2016

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.

Keywords global optimization statistical models extreme value statistics random search kriging