Gradient-based descent linesearch to solve interval-valued optimization problems under gH-differentiability with application to finance (Q6073192): Difference between revisions

This article represents a new approach to the unconstrained interval-valued optimization problem. The idea to extend the concept of line search scheme for interval optimization problem is meritorious and made possible through the extension of the concept of gH derivatives in a way that is not conventional in interval analysis. It is mainly considering about the descent direction and inexact line search iterative algorithm for an optimization problem with interval parameters. A descent sequence is developed using monotonic property of interval valued function. Line search and stopping criteria of the iterative process are studied and justified. Theory is well developed and convergence results are established with rigor based on the well-known generalized Hukuhara difference. A set of interval-valued test problems are created to verify the efficiency of the proposed algorithm. The results are basically correct and justified with the existing methodologies.Finally this proposed scheme is applied to a portfolio model with interval parameters and verified with Stock market data from BSE for particular time-period.