INFLUENCE OF LIPSCHITZ BOUNDS ON THE SPEED OF GLOBAL OPTIMIZATION-Reference-Cited by-同舟云学术

INFLUENCE OF LIPSCHITZ BOUNDS ON THE SPEED OF GLOBAL OPTIMIZATION

Published:2012-04-10 Issue:1 Volume:18 Page:54-66
ISSN:2029-4913
Container-title:Technological and Economic Development of Economy
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Author:

Paulavičius Remigijus¹,Žilinskas Julius²

Affiliation:

1. Vilnius University, Institute of Mathematics and Informatics, Akademijos g. 4, LT-08663 Vilnius, Lithuania; Vilnius Pedagogical University, Studentų g. 39, LT-08106 Vilnius, Lithuania

2. Vilnius University, Institute of Mathematics and Informatics, Akademijos g. 4, LT-08663 Vilnius, Lithuania; Vilnius Gediminas Technical University, Saulėtekio al. 11, LT-10223 Vilnius, Lithuania

Abstract

Global optimization methods based on Lipschitz bounds have been analyzed and applied widely to solve various optimization problems. In this paper a bound for Lipschitz function is proposed, which is computed using function values at the vertices of a simplex and the radius of the circumscribed sphere. The efficiency of a branch and bound algorithm with proposed bound and combinations of bounds is evaluated experimentally while solving a number of multidimensional test problems for global optimization. The influence of different bounds on the performance of a branch and bound algorithm has been investigated.

Publisher

Vilnius Gediminas Technical University

Subject

Finance

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