Lipschitzian optimization without the Lipschitz constant
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We present a new algorithm for finding the global minimum of a multivariate function subject to simple bounds. The algorithm is a modification of the standard Lipschitzian approach that eliminates the need to specify a Lipschitz constant. This is done by carrying out simultaneous searches using all possible constants from zero to infinity. On nine standard test functions, the new algorithm converges in fewer function evaluations than most competing methods.
The motivation for the new algorithm stems from a different way of looking at the Lipschitz constant. In particular, the Lipschitz constant is viewed as a weighting parameter that indicates how much emphasis to place on global versus local search. In standard Lipschitzian methods, this constant is usually large because it must equal or exceed the maximum rate of change of the objective function. As a result, these methods place a high emphasis on global search and exhibit slow convergence. In contrast, the new algorithm carries out simultaneous searches using all possible constants, and therefore operates at both the global and local level. Once the global part of the algorithm finds the basin of convergence of the optimum, the local part of the algorithm quickly and automatically exploits it. This accounts for the fast convergence of the new algorithm on the test functions.
Key WordsGlobal optimization Lipschitzian optimization space covering space partitioning
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