A trust-region-based derivative free algorithm for mixed integer programming |
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| Authors: | Eric Newby M. M. Ali |
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| Affiliation: | 1.Faculty of Science, School of Computational and Applied Mathematics,University of the Witwatersrand,Wits,South Africa;2.Faculty of Science, and TCSE, Faculty of Engineering and the Built Environment, School of Computational and Applied Mathematics,University of the Witwatersrand,Johannesburg,South Africa |
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| Abstract: | A trust-region-based derivative free algorithm for solving bound constrained mixed integer nonlinear programs is developed in this paper. The algorithm is proven to converge to a local minimum after a finite number of function evaluations. In addition, an improved definition of local minima of mixed integer programs is proposed. Computational results showing the effectiveness of the derivative free algorithm are presented. |
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