On Timonov's algorithm for global optimization of univariate Lipschitz functions |
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| Authors: | Pierre Hansen Brigitte Jaumard Shi-Hui Lu |
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| Institution: | (1) RUTCOR, Rutgers University, U.S.A.;(2) GERAD, Canada;(3) École Polytechnique de Montréal, Canada;(4) RUTCOR, Rutgers University, U.S.A. |
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| Abstract: | Timonov proposes an algorithm for global maximization of univariate Lipschitz functions in which successive evaluation points are chosen in order to ensure at each iteration a maximal expected reduction of the  region of indeterminacy , which contains all globally optimal points. It is shown that such an algorithm does not necessarily converge to a global optimum. |
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| Keywords: | Global optimization univariate function Lipschitz function |
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