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Thursday, March 6 • 2:00pm - 2:20pm
Applications Session I: A Hybrid Algorithm for Global Optimization Problems, Leticia Velazquez, Rice University

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We propose a hybrid algorithm for solving global optimization prob- lems that is based on the coupling of the Simultaneous Perturbation Stochastic Approximation (SPSA) and Newton-Krylov Interior-Point (NKIP) methods via a surrogate model. There exist verified algorithms for finding approximate global solutions, but our technique will further guar- antee that such solutions satisfy physical bounds of the problem. First, the SPSA algorithm conjectures regions where a global solution may exist. Next, some data points from the regions are selected to generate a con- tinuously differentiable surrogate model that approximates the original function. Finally, the NKIP algorithm is applied to the surrogate model subject to bound constraints for obtaining a feasible approximate global solution. We present some numerical results on a set of five small problems and two medium to large-scale applications from reservoir simulations.

avatar for Henri Calandra

Henri Calandra

Henri Calandra obtained his M.Sc. in mathematics in 1984 and a Ph.D. in mathematics in 1987 from the Universite des Pays de l’Adour in Pau, France. He joined Cray Research France in 1987 and worked on seismic applications. In 1989 he joined the applied mathematics department of... Read More →


Thursday March 6, 2014 2:00pm - 2:20pm PST
BRC 284 Rice University 6500 Main Street at University, Houston, TX 77030

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