𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On Timonov's algorithm for global optimization of univariate Lipschitz functions

✍ Scribed by Pierre Hansen; Brigitte Jaumard; Shi-Hui Lu

Publisher
Springer US
Year
1991
Tongue
English
Weight
477 KB
Volume
1
Category
Article
ISSN
0925-5001

No coin nor oath required. For personal study only.

✦ Synopsis

Timonov proposes an algorithm for global maximization of univariate Lipschitz functions in which successive evaluation points arc chosen in order to ensure at each iteration a maximal expected reduction of the "region of indeterminacy", which contains all globally optimal points. It is shown that such an algorithm does not necessarily converge to a global optimum.

πŸ“œ SIMILAR VOLUMES

MAPLE code for the gamma algorithm for g
MAPLE code for the gamma algorithm for global optimization of uncertain functions in economy and finance
✍ M. Delgado Pineda; E.A. Galperin πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 424 KB

a b s t r a c t Problems with uncertainties are ubiquitous in many areas of life and the economy. Due to a lack of information as regards the economy and in finance, problems with uncertainties (stock prices, marketing problems, inflation, unemployment) are usually formulated by giving bounds on max