Deterministic global optimization using space-filling curves and multiple estimates of Lipschitz and Hölder constants
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Publication:727093
Abstract: In this paper, the global optimization problem with being a hyperinterval in and satisfying the Lipschitz condition with an unknown Lipschitz constant is considered. It is supposed that the function 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.
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