In this paper, we target the problems of finding a global minimum of nonlinear and stochastic programming problems. To solve this type of problem, we propose new approaches based on combining direct search methods with Evolution Strategies (ESs) and Scatter Search (SS) metaheuristics approaches. First, we suggest new designs of ESs and SS with a memory-based element called Gene Matrix (GM) to deal with those type of problems. These methods are called Directed Evolution Strategies (DES) and Directed Scatter Search (DSS), respectively, and they are able to search for a global minima. Moreover, a faster convergence can be achieved by accelerating the evolutionary search process using GM, and in the final stage we apply the Nelder-Mead algorithm to find the global minimum from the solutions found so far. Then, the variable-sample method is invoked in the DES and DSS to compose new stochastic programming techniques. Extensive numerical experiments have been applied on some well-known functions to test the performance of the proposed methods.
With the rapid growth of simulation software packages, generating practical tools for simulation-based optimization has attracted a lot of interest over the last decades. In this paper, a modified method of Estimation of Distribution Algorithms (EDAs) is constructed by a combination with variable-sample techniques to deal with simulation-based optimization problems. Moreover, a new variable-sample technique is introduced to support the search process whenever the sample sizes are small, especially in the beginning of the search process. The proposed method shows efficient results by simulating several numerical experiments.
Generating practical methods for simulation-based optimization has attracted a great deal of attention recently. In this paper, the estimation of distribution algorithms are used to solve nonlinear continuous optimization problems that contain noise. One common approach to dealing with these problems is to combine sampling methods with optimal search methods. Sampling techniques have a serious problem when the sample size is small, so estimating the objective function values with noise is not accurate in this case. In this research, a new sampling technique is proposed based on fuzzy logic to deal with small sample sizes. Then, simulation-based optimization methods are designed by combining the estimation of distribution algorithms with the proposed sampling technique and other sampling techniques to solve the stochastic programming problems. Moreover, additive versions of the proposed methods are developed to optimize functions without noise in order to evaluate different efficiency levels of the proposed methods. In order to test the performance of the proposed methods, different numerical experiments were carried out using several benchmark test functions. Finally, three real-world applications are considered to assess the performance of the proposed methods.
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