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Journal of Global Optimization

, Volume 71, Issue 1, pp 5–20 | Cite as

Global optimization based on bisection of rectangles, function values at diagonals, and a set of Lipschitz constants

  • Remigijus Paulavičius
  • Lakhdar Chiter
  • Julius ŽilinskasEmail author
Article

Abstract

We consider a global optimization problem for Lipschitz-continuous functions with an unknown Lipschitz constant. Our approach is based on the well-known DIRECT (DIviding RECTangles) algorithm and motivated by the diagonal partitioning strategy. One of the main advantages of the diagonal partitioning scheme is that the objective function is evaluated at two points at each hyper-rectangle and, therefore, more comprehensive information about the objective function is considered than using the central sampling strategy used in most DIRECT-type algorithms. In this paper, we introduce a new DIRECT-type algorithm, which we call BIRECT (BIsecting RECTangles). In this algorithm, a bisection is used instead of a trisection which is typical for diagonal-based and DIRECT-type algorithms. The bisection is preferable to the trisection because of the shapes of hyper-rectangles, but usual evaluation of the objective function at the center or at the endpoints of the diagonal are not favorable for bisection. In the proposed algorithm the objective function is evaluated at two points on the diagonal equidistant between themselves and the endpoints of a diagonal. This sampling strategy enables reuse of the sampling points in descendant hyper-rectangles. The developed algorithm gives very competitive numerical results compared to the DIRECT algorithm and its well know modifications.

Keywords

Global optimization Lipschitz optimization DIRECT-type algorithms Diagonal approach Bisection 

Notes

Acknowledgements

This research was funded by a Grant (No. MIP-051/2014) from the Research Council of Lithuania.

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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  • Remigijus Paulavičius
    • 1
  • Lakhdar Chiter
    • 2
  • Julius Žilinskas
    • 1
    Email author
  1. 1.Institute of Mathematics and InformaticsVilnius UniversityVilniusLithuania
  2. 2.Department of Mathematics, Faculty of SciencesUniversity of Sétif 1SétifAlgeria

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