Virtuous smoothing for global optimization

被引:6
|
作者
Lee, Jon [1 ]
Skipper, Daphne [2 ]
机构
[1] Univ Michigan, IOE Dept, Ann Arbor, MI 48109 USA
[2] US Naval Acad, Dept Math, Annapolis, MD 21402 USA
关键词
Global optimization; Non-smooth; Non-differentiable; Piece-wise functions; Roots; Smoothing; ALGORITHM;
D O I
10.1007/s10898-017-0533-x
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
In the context of global optimization and mixed-integer non-linear programming, generalizing a technique of D'Ambrosio, Fampa, Lee and Vigerske for handling the square-root function, we develop a virtuous smoothing method, using cubics, aimed at functions having some limited non-smoothness. Our results pertain to root functions ( with ) and their increasing concave relatives. We provide (i) a sufficient condition (which applies to functions more general than root functions) for our smoothing to be increasing and concave, (ii) a proof that when for integers , our smoothing lower bounds the root function, (iii) substantial progress (i.e., a proof for integers ) on the conjecture that our smoothing is a sharper bound on the root function than the natural and simpler "shifted root function", and (iv) for all root functions, a quantification of the superiority (in an average sense) of our smoothing versus the shifted root function near 0.
引用
收藏
页码:677 / 697
页数:21
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