A Stochastic Augmented Lagrangian Equality Constrained-Based Algorithm for Global Optimization

Abstract

This paper presents a numerical study of a stochastic augmented Lagrangian algorithm to solve continuous constrained global optimization problems. The algorithm approximately solves a sequence of bound constrained subproblems whose objective function penalizes equality and inequality constraints violation and depends on the Lagrange multiplier vectors and a penalty parameter. Each subproblem is solved by a population‐based method that uses an electromagnetism‐like mechanism to move points towards optimality. A comparison with another stochastic technique is also reported.