A DETERMINISTIC ALGORITHM FOR GLOBAL OPTIMIZATION

被引：85
|
作者：
BREIMAN, L
CUTLER, A
机构：
[1] UTAH STATE UNIV,DEPT MATH & STAT,LOGAN,UT 84322
[2] UNIV CALIF BERKELEY,BERKELEY,CA 94720
来源：
MATHEMATICAL PROGRAMMING | 1993年 / 58卷 / 02期
关键词：
DETERMINISTIC GLOBAL OPTIMIZATION; GLOBAL MAXIMUM; GLOBAL MINIMUM;
D O I：
10.1007/BF01581266
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
We present an algorithm for finding the global maximum of a multimodal, multivariate function for which derivatives are available. The algorithm assumes a bound on the second derivatives of the function and uses this to construct an upper envelope. Successive function evaluations lower this envelope until the value of the global maximum is known to the required degree of accuracy. The algorithm has been implemented in RATFOR and execution times for standard test functions are presented at the end of the paper.
引用
收藏
页码：179 / 199
页数：21
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