Global Search Based on Efficient Diagonal Partitions and a set of Lipschitz Constants

In the paper, the global optimization problem of a multidimensional “black-box” function satisfying the Lipschitz condition over a hyperinterval with an unknown Lipschitz constant is considered. A new efficient algorithm for solving this problem is presented. At each iteration of the method a number of possible Lipschitz constants is chosen from a set of values varying from zero to infinity. This idea is unified with an efficient diagonal partition strategy. A novel technique balancing usage of local and global information during partitioning is proposed. A new procedure for finding lower bounds of the objective function over hyperintervals is also considered. It is demonstrated by extensive numerical experiments performed on more than 1600 multidimensional test functions that the new algorithm shows a very promising performance. Key words. Global optimization, black-box functions, derivative-free methods, partition strategies, diagonal approach AMS subject classifications. 65K...

• Type: Journal
• Year: 2011
• Where: CORR
• Authors: Yaroslav D. Sergeyev, Dmitri E. Kvasov
• Keywords: CORR 2011, Education, Global Optimization, Global Optimization Problem, Lipschitz Constants