Bayesian approach to global discrete optimization
We discuss advantages and disadvantages of the Bayesian approach (average case analysis). We present the portable interactive version of software for continuous global optimization. We consider practical multidimensional problems of continuous global optimization, such as optimization of VLSI yield, optimization of composite laminates, estimation of unknown parameters of bilinear time series. We extend Bayesian approach to discrete optimization. We regard the discrete optimization as a multi-stage decision problem. We assume that there exists some simple heuristic function which roughly predicts the consequences of the decisions. We suppose randomized decisions. We define the probability of the decision by the randomized decision function depending on heuristics. We fix this function with exception of some parameters. We repeat the randomized decision several times at the fixed values of those parameters and accept the best decision as the result. We optimize the parameters of the randomized decision function to make the search more efficient. Thus we reduce the discrete optimization problem to the continuous problem of global stochastic optimization. We solve this problem by the Bayesian methods of continuous global optimization. We describe the applications to some well known An problems of discrete programming, such as knapsack, traveling salesman, and scheduling.
- OSTI ID:
- 36632
- Report Number(s):
- CONF-9408161-; TRN: 94:009753-0623
- Resource Relation:
- Conference: 15. international symposium on mathematical programming, Ann Arbor, MI (United States), 15-19 Aug 1994; Other Information: PBD: 1994; Related Information: Is Part Of Mathematical programming: State of the art 1994; Birge, J.R.; Murty, K.G. [eds.]; PB: 312 p.
- Country of Publication:
- United States
- Language:
- English
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