An algorithm for global optimization of Lipschitz continuous functions |
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| Authors: | C. C. Meewella D. Q. Mayne |
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| Affiliation: | (1) Department of Electrical Engineering, Imperial College of Science and Technology, London, England |
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| Abstract: | ![]()
An algorithm is presented which locates the global minimum or maximum of a function satisfying a Lipschitz condition. The algorithm uses lower bound functions defined on a partitioned domain to generate a sequence of lower bounds for the global minimum. Convergence is proved, and some numerical results are presented. |
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| Keywords: | Global optimization nondifferentiable optimization Lipschitz continuous functions |
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