Best global optimization technique

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Jakob Sievers
Jakob Sievers on 22 Apr 2014
Commented: José-Luis on 22 Apr 2014
The performance of an optimization algorithm varies greatly depending on the problem at hand. Often performance may vary with strategy and algorithm parameter settings as well. hence the question "which is the best algorithm" is inherently tricky, if possible at all, to answer. Especially in a thread like this.
Instead I was wondering if anyone had any suggestions based on my current progress. I have a fairly simple 4 parameter problem which should be optimized within constraints. It seems that many local minima exist so I have been playing around with a combination of local solvers such as fminsearchbnd and patternsearch, and global solvers such as GlobalSearch, genetic algorithms, Multistart and Differential evolution. Currently the best compromise between speed and accuracy seems to be a combination of fminsearchbnd for quick improvement of a rough initial guess and the application of Differential Evolution to determine the global solution.
The latter is a bit slow though and in my mind a 4 parameter problem should not be this tricky. Well, at least not this problem anyway. So I was wondering if anyone had any suggestions for alternative algorithms or methods that I may think of, or any recommendations as to improve my current method in general?
As suggested above this is meant merely as a "thoughts and suggestions" thread, as specific recommendations are tricky with this particular topic.
Cheers
Jakob
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