Global optimization in problems with uncertainties: the gamma algorithm.

DOI10.1016/S0898-1221(02)00198-0MaRDI QIDQ1416293zbMATH OpenOpenAlexFDO

Authors E. A. Galperin

Publication date 14 December 2003

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0898-1221(02)00198-0

zbMATH Keywords

double optimalityglobal optimization under certainty

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Nonlinear programming (90C30)

Review text

A new concept of global optimality is proposed for an uncertain function viewed as unspecified point values of set-valued functions. For the class of interval-valued functions, the optimal interval value is defined leading to double optimization with respect to upper/lower closures of such functions. A monadic iterative algorithm is then developed yielding approximate solutions up to the precision specified in advance. A notion of piecewise continuous function \(f: \mathbb{R}^n\to\mathbb{R}\) is defined and the method is generalized for an uncertain function over a bounded set \(X\subset\mathbb{R}^n\) defined by a closed set-valued function with piecewise Lipschitz continuous upper and lower functions.

Recommendations

• MAPLE code of gamma algorithm for global optimization of uncertain functions over compact robust sets
• MAPLE code for the gamma algorithm for global optimization of uncertain functions in economy and finance
• scientific article; zbMATH DE number 4114395
• Global optimization with data perturbations
• Synthetic realization approach to fuzzy global optimization via gamma algorithm

Cites work

• scientific article; zbMATH DE number 417882 (Why is no real title available?)
• Numerical experiments with one-dimensional adaptive cubic algorithm
• Precision, complexity, and computational schemes of the cubic algorithms
• The alpha algorithm and the application of the cubic algorithm in case of unknown Lipschitz constant
• The cubic algorithm
• The fast cubic algorithm

Cited in

(6)

• Synthetic realization approach to fuzzy global optimization via gamma algorithm
• Non-causal models in long term planning via set contractive optimal control methods
• scientific article; zbMATH DE number 4114395 (Why is no real title available?)
• One-dimensional global optimization for observations with noise
• MAPLE code of gamma algorithm for global optimization of uncertain functions over compact robust sets
• MAPLE code for the gamma algorithm for global optimization of uncertain functions in economy and finance

This page was built for publication: Global optimization in problems with uncertainties: the gamma algorithm.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1416293)