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2020 | OriginalPaper | Chapter

Global Optimization Method with Numerically Calculated Function Derivatives

Authors : Victor Gergel, Alexander Sysoyev

Published in: Advances in Optimization and Applications

Publisher: Springer International Publishing

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Abstract

The paper proposes a method for solving computationally time-consuming multidimensional global optimization problems. The developed method combines the use of a nested dimensional reduction scheme and numerical estimates of the objective function derivatives. Derivatives significantly reduce the cost of solving global optimization problems, however, the use of a nested scheme can lead to the fact that the derivatives of the reduced function become discontinuous. Typical global optimization methods are highly dependent on the continuity of the objective function. Thus, to use derivatives in combination with a nested scheme, an optimization method is required that can work with discontinuous functions. The paper discusses the corresponding method, as well as the results of numerical experiments in which such an optimization scheme is compared with other known methods.

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next chapter Improving of the Identification Algorithm for a Quasilinear Recurrence Equation

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Title: Global Optimization Method with Numerically Calculated Function Derivatives
Authors: Victor Gergel
Alexander Sysoyev
Publisher: Springer International Publishing
Book: Advances in Optimization and Applications
Print ISBN: 978-3-030-65738-3

Electronic ISBN: 978-3-030-65739-0

Copyright Year: 2020
DOI: https://doi.org/10.1007/978-3-030-65739-0_1

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