An interval algorithm for nondifferentiable global optimization

DOI10.1016/0096-3003(94)90189-9MaRDI QIDQ1335231zbMATH OpenOpenAlexFDO

Authors Liansheng Zhang, Michael A. Wolfe

Publication date 28 September 1994

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0096-3003(94)90189-9

constraint optimization deterministic algorithm global solutions interval arithmetic numerical results PASCAL code penalty functions

Mathematics Subject Classification ID

Interval and finite arithmetic (65G30) Numerical mathematical programming methods (65K05) Nonlinear programming (90C30)

Review text

Let \(G\) be the set of global solutions of the constraint optimization problem \(\min f(x)\), \(x\in S\), and let \(G_ c\) be the set of global solutions of the unconstrained problem \(\min F(x)\) with \(F= f+ cp\), where \(p\) is a penalty term for the feasible set \(S\) and \(c\) is a penalty factor. In the theory of penalty functions, it is well-known that the accumulation points of any sequence \((x_ c)\) with \(x_ c\in G_ c\) lie in \(G\) as \(c\to\infty\). The authors show now that under certain assumptions a number \(\bar c\) can be constructed such that \(G_ c= G\) for all \(c\geq \bar c\). This property combined with interval arithmetic techniques is used to propose an effective deterministic algorithm for solving the problem originally given. A very detailed PASCAL code and numerical results are added.

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