A global optimization approach to classification

In this paper is presented an hybrid algorithm for finding the absolute extreme point of a multimodal scalar function of many variables. The algorithm is suitable when the objective function is expensive to compute, the computation can be affected by noise and/or partial derivatives cannot be calculated. The method used is a genetic modification of a previous algorithm based on the Prices method. All information about behavior of objective function collected on previous iterates are used to chose new evaluation points. The genetic part of the algorithm is very effective to escape from local attractors of the algorithm and assures convergence in probability to the global optimum. The proposed algorithm has been tested on a large set of multimodal test problems outperforming both the modified Prices algorithm and classical genetic approach.C