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arXiv 1307.3522math.OCcs.MScs.NAmath.NA
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一元全局optimization算法在Lipschitz函数和一阶导数下的加速

Acceleration of univariate global optimization algorithms working with Lipschitz functions and Lipschitz first derivatives

Daniela Lera, Yaroslav D. Sergeyev

摘要:

本文研究了有限闭区间上的两类一维全局优化问题:(i)目标函数$f(x)$满足Lipschitz条件,且$L$为常数;(ii)目标函数$f(x)$的一阶导数满足Lipschitz条件,且$M$为常数$M$.在本文中,六个算法的情况下(i)和六个算法的情况下(ii)。在这两种情况下,辅助功能的构造和自适应改进的搜索过程中。在情况(i)中,构造分段线性函数,并且在情况(ii)中,使用平滑分段二次函数。常数$L$和$M$或者作为先验已知的值,或者在搜索期间动态估计。最近的技术,自适应估计局部Lipschitz常数在不同区域的搜索区域被用来加速搜索。一种新的技术称为\emph{local improvement}的介绍,以加快在两种情况下的搜索(i)和(ii)。算法被描述在一个独特的框架,他们的性质进行了研究,从一般的观点,并给出了所提出的算法的收敛条件。对文献中120个测试问题进行的数值实验表明,新的加速技术具有良好的性能。

英文摘要:

This paper deals with two kinds of the one-dimensional global optimization problems over a closed finite interval: (i) the objective function $f(x)$ satisfies the Lipschitz condition with a constant $L$; (ii) the first derivative of $f(x)$ satisfies the Lipschitz condition with a constant $M$. In the paper, six algorithms are presented for the case (i) and six algorithms for the case (ii). In both cases, auxiliary functions are constructed and adaptively improved during the search. In the case (i), piece-wise linear functions are constructed and in the case (ii) smooth piece-wise quadratic functions are used. The constants $L$ and $M$ either are taken as values known a priori or are dynamically estimated during the search. A recent technique that adaptively estimates the local Lipschitz constants over different zones of the search region is used to accelerate the search. A new technique called the \emph{local improvement} is introduced in order to accelerate the search in both cases (i) and (ii). The algorithms are described in a unique framework, their properties are studied from a general viewpoint, and convergence conditions of the proposed algorithms are given. Numerical experiments executed on 120 test problems taken from the literature show quite a promising performance of the new accelerating techniques.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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