Univariate global optimization with multiextremal non-differentiable constraints without penalty functions

DOI10.1007/S10589-005-3906-XzbMATH Open1121.90104arXiv1107.5269OpenAlexW2129650095MaRDI QIDQ853549FDOQ853549

Authors: Yaroslav D. Sergeyev 

Publication date: 17 November 2006

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Abstract: This paper proposes a new algorithm for solving constrained global optimization problems where both the objective function and constraints are one-dimensional non-differentiable multiextremal Lipschitz functions. Multiextremal constraints can lead to complex feasible regions being collections of isolated points and intervals having positive lengths. The case is considered where the order the constraints are evaluated is fixed by the nature of the problem and a constraint $i$ is defined only over the set where the constraint $i-1$ is satisfied. The objective function is defined only over the set where all the constraints are satisfied. In contrast to traditional approaches, the new algorithm does not use any additional parameter or variable. All the constraints are not evaluated during every iteration of the algorithm providing a significant acceleration of the search. The new algorithm either finds lower and upper bounds for the global optimum or establishes that the problem is infeasible. Convergence properties and numerical experiments showing a nice performance of the new method in comparison with the penalty approach are given.

Full work available at URL: https://arxiv.org/abs/1107.5269

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zbMATH Keywords

global optimizationLipschitz functionsmultiextremal constraintscontinuous index functions

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26)

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Cited In (5)

• Solving constrained global optimization problems without penalty parameters
• A Search Algorithm for the Global Extremum of a Discontinuous Function
• Derivative-free local tuning and local improvement techniques embedded in the univariate global optimization
• Novel local tuning techniques for speeding up one-dimensional algorithms in expensive global optimization using Lipschitz derivatives
• A new global optimization method for univariate constrained twice-differentiable NLP problems

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