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Full Record Details
DOI
10.5286/raltr.2011020
Persistent URL
http://purl.org/net/epubs/work/61295
Record Status
Checked
Record Id
61295
Title
A branch and bound algorithm for the global optimization of Hessian Lipschitz continuous functions
Contributors
JM Fowkes (Edinburgh U.)
,
NIM Gould (STFC Rutherford Appleton Lab.)
,
CL Farmer (Oxford U.)
Abstract
We present a branch and bound algorithm for the global optimization of a twice differentiable nonconvex objective function with a Lipschitz continuous Hessian over a compact, convex set.The algorithm is based on applying cubic regularisation techniques to the objective function within an overlapping branch and bound algorithm for convex constrained global optimization. Unlike other branch and bound algorithms, lower bounds are obtained via nonconvex underestimators of the function. For a numerical example, we apply the proposed branch and bound algorithm to radial basis function approximations.
Organisation
CSE
,
CSE-NAG
,
STFC
Keywords
Funding Information
Related Research Object(s):
66310
Licence Information:
Language
English (EN)
Type
Details
URI(s)
Local file(s)
Year
Report
RAL Technical Reports
RAL-TR-2011-020. 2011.
RAL-TR-2011-020.pdf
2011
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