A branch and bound algorithm for the global optimization of Hessian Lipschitz continuous functions |
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Authors: | Jaroslav M Fowkes Nicholas I M Gould Chris L Farmer |
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Institution: | 1. School of Mathematics, University of Edinburgh, The King’s Buildings, Edinburgh, EH9 3JZ, UK 2. Computational Science and Engineering Department, Rutherford Appleton Laboratory, Chilton, Oxfordshire, OX11 0QX, UK 3. Mathematical Institute, University of Oxford, 24-29 StGiles’, Oxford, OX1 3LB, UK
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Abstract: | We present a branch and bound algorithm for the global optimization of a twice differentiable nonconvex objective function with a Lipschitz continuous Hessian over a compact, convex set. The algorithm is based on applying cubic regularisation techniques to the objective function within an overlapping branch and bound algorithm for convex constrained global optimization. Unlike other branch and bound algorithms, lower bounds are obtained via nonconvex underestimators of the function. For a numerical example, we apply the proposed branch and bound algorithm to radial basis function approximations. |
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