Globally concavized filled function method for the box constrained continuous global minimization problem

We present a new definition of filled function, named globally concavized filled function, for the box constrained continuous global minimization problem. A class of this kind of filled functions are constructed. These functions contain two easily determinable parameters, which are not dependent on the radius of the basin at the current local minimizer to make them be globally concavized filled functions. We design a randomized algorithm to solve the problem basing on these functions and prove that the algorithm can converge asymptotically with probability one to a global minimizer of the problem. Numerical experiments are presented to show the effectiveness and robustness of the algorithm.