Abstract
We consider the following global optimization problems for a Lipschitz functionf implicitly defined on an interval [a, b]. Problem P′: find a globallyε-optimal value off and a corresponding point; Problem Q″: find a set of disjoint subintervals of [a, b] containing only points with a globallyε-optimal value and the union of which contains all globally optimal points. A two-phase algorithm is proposed for Problem P′. In phase I, this algorithm obtains rapidly a solution which is often globallyε-optimal. Moreover, a sufficient condition onf for this to be the case is given. In phase II, the algorithm proves theε-optimality of the solution obtained in phase I or finds a sequence of points of increasing value containing one with a globallyε-optimal value. The new algorithm is empirically compared (on twenty problems from the literature) with a best possible algorithm (for which the optimal value is assumed to be known), with a passive algorithm and with the algorithms of Evtushenko, Galperin, Shen and Zhu, Piyavskii, Timonov and Schoen. For smallε, the new algorithm requires only a few percent more function evaluations than the best possible one. An extended version of Piyavskii's algorithm is proposed for problem Q″. A sufficient condition onf is given for the globally optimal points to be in one-to-one correspondance with the obtained intervals. This result is achieved for all twenty test problems.
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The research of the authors has been supported by AFOSR grants 0271 and 0066 to Rutgers University. Research of the second author has been also supported by NSERC grant GP0036426, FCAR grant 89EQ4144 and partially by AFOSR grant 0066. We thank Nicole Paradis for her help in drawing the figures.
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Hansen, P., Jaumard, B. & Lu, SH. Global optimization of univariate Lipschitz functions: II. New algorithms and computational comparison. Mathematical Programming 55, 273–292 (1992). https://doi.org/10.1007/BF01581203
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DOI: https://doi.org/10.1007/BF01581203