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An algorithm for global optimization of Lipschitz continuous functions

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Abstract

An algorithm is presented which locates the global minimum or maximum of a function satisfying a Lipschitz condition. The algorithm uses lower bound functions defined on a partitioned domain to generate a sequence of lower bounds for the global minimum. Convergence is proved, and some numerical results are presented.

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Authors and Affiliations

  1. Department of Electrical Engineering, Imperial College of Science and Technology, London, England

    C. C. Meewella (Research Assistant) & D. Q. Mayne (Professor)

Authors
  1. C. C. Meewella
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  2. D. Q. Mayne
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Meewella, C.C., Mayne, D.Q. An algorithm for global optimization of Lipschitz continuous functions. J Optim Theory Appl 57, 307–322 (1988). https://doi.org/10.1007/BF00938542

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  • DOI: https://doi.org/10.1007/BF00938542

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