Deterministic global optimization using space-filling curves and multiple estimates of Lipschitz and Hölder constants

DOI10.1016/J.CNSNS.2014.11.015zbMATH Open1356.90112arXiv1509.03590OpenAlexW1972882586MaRDI QIDQ727093FDOQ727093

Authors: Daniela Lera, Yaroslav D. Sergeyev 

Publication date: 6 December 2016

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Abstract: In this paper, the global optimization problem $mi{n}_{yinS}F(y)$ with $S$ being a hyperinterval in $R{e}^N$ and $F(y)$ satisfying the Lipschitz condition with an unknown Lipschitz constant is considered. It is supposed that the function $F(y)$ can be multiextremal, non-differentiable, and given as a `black-box'. To attack the problem, a new global optimization algorithm based on the following two ideas is proposed and studied both theoretically and numerically. First, the new algorithm uses numerical approximations to space-filling curves to reduce the original Lipschitz multi-dimensional problem to a univariate one satisfying the H"{o}lder condition. Second, the algorithm at each iteration applies a new geometric technique working with a number of possible H"{o}lder constants chosen from a set of values varying from zero to infinity showing so that ideas introduced in a popular DIRECT method can be used in the H"{o}lder global optimization. Convergence conditions of the resulting deterministic global optimization method are established. Numerical experiments carried out on several hundreds of test functions show quite a promising performance of the new algorithm in comparison with its direct competitors.

Full work available at URL: https://arxiv.org/abs/1509.03590

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zbMATH Keywords

global optimizationLipschitz functionsspace-filling curvesdirectclasses of test functionsdeterministic numerical algorithmsHölder functions

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26)

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Cited In (29)

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Uses Software

• Algorithm 829

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