On rigorous upper bounds to a global optimum
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In branch and bound algorithms in constrained global optimization, a sharp upper bound on the global optimum is important for the overall efficiency of the branch and bound process. Software to find local optimizers, using floating point arithmetic, often computes an approximately feasible point close to an actual global optimizer. Not mathematically rigorous algorithms can simply evaluate the objective at such points to obtain approximate upper bounds. However, such points may actually be slightly infeasible, and the corresponding objective values may be slightly smaller than the global optimum. A consequence is that actual optimizers are occasionally missed, while the algorithm returns an approximate optimum and corresponding approximate optimizer that is occasionally far away from an actual global optimizer. In mathematically rigorous algorithms, objective values are accepted as upper bounds only if the point of evaluation is proven to be feasible. Such computational proofs of feasibility have been weak points in mathematically rigorous algorithms. This paper first reviews previously proposed automatic proofs of feasibility, then proposes an alternative technique. The alternative technique is tried on a test set that caused trouble for previous techniques, and is also employed in a mathematically rigorous branch and bound algorithm on that test set.
KeywordsAutomatic verification Branch and bound algorithms Interval analysis Global optimization Feasibility
I wish to thank the referees for their numerous comments that substantially improved the content of this work.
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