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AbsTaylor: upper bounding with inner regions in nonlinear continuous global optimization problems

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Abstract

In this paper we propose AbsTaylor, a simple and quick method for extracting inner polytopes, i.e., entirely feasible convex regions in which all points satisfy the constraints. The method performs an inner linearization of the nonlinear constraints by using a Taylor form. Unlike a previous proposal, the expansion point of the Taylor form is not limited to the bounds of the domains, thus producing, in general, a tighter approximation. For testing the approach, AbsTaylor was introduced as an upper bounding method in a state-of-the-art global branch & bound optimizer. Furthermore, we implemented a local search method which extracts feasible inner polytopes for iteratively finding better solutions inside them. In the studied instances, the new method finds in average four times more inner regions and significantly improves the optimizer performance.

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Notes

  1. An interval \({\varvec{x}}_i=[\underline{x_i},\overline{x_i}]\) defines the set of reals \(x_i\), such that \(\underline{x_i} \le x_i \le \overline{x_i}\). A box \({\varvec{x}}\) is a Cartesian product of intervals \({\varvec{x}}_1 \times \cdots \times {\varvec{x}}_i \times \cdots \times {\varvec{x}}_n\)

  2. Karush–Kuhn–Tucker (KKT) conditions are necessary conditions for a solution to be optimal [17].

  3. Providing that an initial feasible solution is given. Otherwise the same method may find an initial feasible solution.

  4. http://www.mat.univie.ac.at/~neum/glopt/coconut/Benchmark/Benchmark.html.

  5. E.g., similarly to XTaylor, XNewton generates linear relaxations of the constraints by choosing random corners of the box as expansion points.

  6. The other tested values of \(\alpha \) were 0.1, 0.2, 0.7, 0.8, 0.9 and 0.99.

  7. They were run on a computer with an Intel Xeon X5650 2.67 GHz processor with 24 GB RAM on a 64 bit Linux version.

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Acknowledgements

This work is supported by the Fondecyt Project 1160224. Victor Reyes is supported by the Grant Postgrado PUCV 2018.

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  1. Pontificia Universidad Católica de Valparaíso, Valparaiso, Chile

    Victor Reyes & Ignacio Araya

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  1. Victor Reyes
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  2. Ignacio Araya
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Correspondence to Victor Reyes.

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Reyes, V., Araya, I. AbsTaylor: upper bounding with inner regions in nonlinear continuous global optimization problems. J Glob Optim 79, 413–429 (2021). https://doi.org/10.1007/s10898-020-00878-z

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