A randomised non-descent method for global optimisation

Abstract

This paper proposes novel algorithm for non-convex multimodal constrained optimisation problems. It is based on sequential solving restrictions of problem to sections of feasible set by random subspaces (in general, manifolds) of low dimensionality. This approach varies in a way to draw subspaces, dimensionality of subspaces, and method to solve restricted problems. We provide empirical study of algorithm on convex, unimodal and multimodal optimisation problems and compare it with efficient algorithms intended for each class of problems.