A trust-region-based derivative free algorithm for mixed integer programming

被引：17
|
作者：
Newby, Eric [1 ]
Ali, M. M. [2 ,3 ]
机构：
[1] Univ Witwatersrand, Fac Sci, Sch Computat & Appl Math, ZA-2050 Johannesburg, South Africa
[2] Univ Witwatersrand, Fac Sci, Johannesburg, South Africa
[3] Univ Witwatersrand, TCSE, Fac Engn & Built Environm, Sch Computat & Appl Math, Johannesburg, South Africa
来源：
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS | 2015年 / 60卷 / 01期
基金：
新加坡国家研究基金会;
关键词：
Mixed integer programming; Nonlinear programming; Derivative free algorithm; Trust region methods; DIRECT SEARCH ALGORITHMS; OPTIMIZATION; CONVERGENCE; MODEL;
D O I：
10.1007/s10589-014-9660-1
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：199 / 229
页数：31
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