Global Optimization Using the Branch-And-Bound Algorithm with a Combination of Lipschitz Bounds over Simplices
Global Optimization Using the Branch-And-Bound Algorithm with a Combination of Lipschitz Bounds over Simplices
Author(s): Remigijus Paulavičius, Julius ŽilinskasSubject(s): Economy
Published by: Vilnius Gediminas Technical University
Keywords: branch-and-bound algorithm; Lipschitz optimization; global optimization; Lipschitz bound
Summary/Abstract: Many problems in economy may be formulated as global optimization problems. Most numerically promising methods for solution of multivariate unconstrained Lipschitz optimization problems of dimension greater than 2 use rectangular or simplicial branch-and-bound techniques with computationally cheap, but rather crude lower bounds. The proposed branch-and-bound algorithm with simplicial partitions for global optimization uses a combination of 2 types of Lipschitz bounds. One is an improved Lipschitz bound with the first norm. The other is a combination of simple bounds with different norms. The efficiency of the proposed global optimization algorithm is evaluated experimentally and compared with the results of other well-known algorithms. The proposed algorithm often outperforms the comparable branch-and-bound algorithms.
Journal: Technological and Economic Development of Economy
- Issue Year: 2009
- Issue No: 2
- Page Range: 310-325
- Page Count: 16
- Language: English