An optimization problem is considered where the objective function f(x) is black-box and multiextremal and the information about its gradient f'(x) is available during the search. It is supposed that f'(x) satisfies the Lipschitz condition over the admissible hyperinterval with an unknown Lipschitz constant K. Some numerical Lipschitz global optimization methods based on geometric ideas with the usage of different estimates of the Lipschitz constant K are presented. Results oftheir systematic experimental investigation are reported and commented on.
Comments upon the usage of derivatives in Lipschitz global optimization
Sergeev Y
;Kvasov D;Mukhametzhanov M
2016-01-01
Abstract
An optimization problem is considered where the objective function f(x) is black-box and multiextremal and the information about its gradient f'(x) is available during the search. It is supposed that f'(x) satisfies the Lipschitz condition over the admissible hyperinterval with an unknown Lipschitz constant K. Some numerical Lipschitz global optimization methods based on geometric ideas with the usage of different estimates of the Lipschitz constant K are presented. Results oftheir systematic experimental investigation are reported and commented on.File in questo prodotto:
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