G-94-14
Global Optimization of Hölder Functions
, et référence BibTeX
We propose a branch-and-bound framework for the global optimization of unconstrained Hölder functions. The general framework is used to derive two algorithms. The first one is a generalization of Piyavskii's algorithm for univariate Lipschitz functions. The second algorithm, using a piecewise constant upper-bounding function, is designed for multivariate Hölder functions. A proof of convergence is provided for both algorithms. Computational experience is reported on several test functions from the literature.
Paru en avril 1994 , 32 pages
Ce cahier a été révisé en août 1995