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Global interval methods for local nonsmooth optimization. (English) Zbl 0946.90085
Summary: An interval method for determining local solutions of nonsmooth unconstrained optimization problems is discussed. The objective function is assumed to be locally Lipschitz and to have appropriate interval inclusions. The method consists of two parts, a local search and a global continuation and termination. The local search consists of a globally convergent descent algorithm showing similarities to \(\varepsilon\)-bundle methods. While \(\varepsilon\)-bundle methods use polytopes as inner approximations of the \(\varepsilon\)-subdifferentials, which are the main tools of almost all bundle concepts, our method uses axes parallel boxes as outer approximations of the \(\varepsilon\)-subdifferentials. The boxes are determined almost automatically with inclusion techniques of interval arithmetic. The dimension of the boxes is equal to the dimension of the problem and remains constant during the whole computation. The application of boxes does not suffer from the necessity to invest methodical and computational efforts to adapt the polytopes to the latest state of the computation as well as to simplify them when the number of vertices becomes too large, as is the case with the polytopes. The second part of the method applies interval techniques of global optimization to the approximative local solution obtained from the search of the first part in order to determine guaranteed error bounds or to improve the solution if necessary. We present prototype algorithms for both parts of the method as well as a complete convergence theory for them and demonstrate how outer approximations can be obtained.

MSC:
90C30 Nonlinear programming
90C26 Nonconvex programming, global optimization
65K05 Numerical mathematical programming methods
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