Conference talk at the INFORMS 2018 conference presenting the associated JOGO paper.
“Simplicial Homology Global Optimisation: A Lipschitz Global Optimisation Algorithm”
The simplicial homology global optimisation (SHGO) algorithm is a general purpose global optimisation algorithm based on applications of simplicial integral homology and combinatorial topology. SHGO approximates the homology groups of a complex built on a hypersurface homeomorphic to a complex on the objective function. This provides both approximations of locally convex subdomains in the search space through Sperner’s lemma and a useful visual tool for characterising and efficiently solving higher dimensional black and grey box optimisation problems. The algorithm is specialised in finding all the local minima of an objective function with expensive function evaluations efficiently.
The presentation slides can be downloaded here.