Lipschitz gradients for global optimization in a one-point-based partitioning scheme
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Publication:433950
Abstract: A global optimization problem is studied where the objective function is a multidimensional black-box function and its gradient satisfies the Lipschitz condition over a hyperinterval with an unknown Lipschitz constant . Different methods for solving this problem by using an a priori given estimate of , its adaptive estimates, and adaptive estimates of local Lipschitz constants are known in the literature. Recently, the authors have proposed a one-dimensional algorithm working with multiple estimates of the Lipschitz constant for (the existence of such an algorithm was a challenge for 15 years). In this paper, a new multidimensional geometric method evolving the ideas of this one-dimensional scheme and using an efficient one-point-based partitioning strategy is proposed. Numerical experiments executed on 800 multidimensional test functions demonstrate quite a promising performance in comparison with popular DIRECT-based methods.
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