Groupe d’études et de recherche en analyse des décisions


Gaussian Variable Neighborhood Search for Continuous Optimization

, , et

Variable Neighborhood Search (VNS) has shown to be a powerful tool for solving both discrete and box-constrained continuous optimization problems. In this note we extend the methodology by allowing also to address unconstrained continuous optimization problems.

Instead of perturbing the incumbent solution by randomly generating a trial point in a ball of a given metric, we propose to perturb the incumbent solution by adding some noise, following a Gaussian distribution. This way of generating new trial points allows one to give, in a simple and intuitive way, preference to some directions in the search space, or, contrarily, to treat uniformly all directions. Computational results show some advantages of this new approach.

, 17 pages