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A Heuristic for Nonlinear Global Optimization

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Abstract:
We present a heuristic for nonlinear global optimization combining a variable neighborhood search framework with a modified trust-region algorithm as local search. The proposed method presents the capability to prematurely interrupt the local search if the iterates are converging to a local minimum that has already been visited or if they are reaching an area where no significant improvement can be expected. The neighborhoods, as well as the neighbors selection procedure, are exploiting the curvature of the objective function. Numerical tests are performed on a set of unconstrained nonlinear problems from the literature. Results illustrate that the new method significantly outperforms existing heuristics from the literature in terms of success rate, CPU time, and number of function evaluations.

http://people.epfl.ch/michel.bierlaire
Type of Seminar:
Optimization and Applications Seminar
Speaker:
Prof. Michel Bierlaire
Transportation and Mobility Laboratory, EPFL
Date/Time:
Nov 15, 2010   16:30-18:00
Location:

ETHZ Rämistrasse 101, HG G 19.1
Contact Person:

Prof. John Lygeros
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Biographical Sketch:
Belgian, born in 1967, Michel Bierlaire holds a MSc and a PhD in Mathematical Sciences from the Facultés Universitaires Notre-Dame de la Paix, Namur, Belgium (University of Namur). Between 1995 and 1998, he was research associate and project manager at the Intelligent Transportation Systems Program of the Massachusetts Institute of Technology (Cambridge, Ma, USA). Between 1998 and 2006, he was a junior faculty in the Operations Research group ROSO within the Institute of Mathematics at EPFL. In 2006, he was appointed associate professor in the School of Architecture, Civil and Environmental Engineering at EPFL, where he became the director of the Transport and Mobility laboratory. Since 2009, he is the director of TraCE, the Transportation Center at EPFL. His main expertise is in the design, development and applications of models and algorithms for the design, analysis and management of transportation systems. Namely, he has been active in demand modeling (discrete choice models, estimation of origin-destination matrices) and Dynamic Traffic Management Systems.