A Stochastic Approach to General Nonlinear Programming Problems

Abstract

Nonlinear programming problem is the general case of mathematical programming problem such that both the objective and constraint functions are nonlinear and is the most difficult case of smooth optimization problem to solve. In this article, we suggest a stochastic search method to general nonlinear programming problems which is not an iterative algorithm but it is an interior point method. The proposed method finds the near-optimal solution to the problem. The results of a few numerical studies are reported. The efficiency of the new method is compared and is found to be reasonable.

Keywords:

• General nonlinear programming
• Near optimal solution
• Non-uniform distribution
• Simulation approach
• Stochastic search algorithm
• Uniform distribution

2000 Mathematics Subject Classification:

• 90C30
• 90C51
• 90C99

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Erratum

Acknowledgement

The authors are grateful to the referees for their constructive comments and careful reading.