Global optimization in Hilbert space
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Published version
OA Location
Author(s)
Houska, B
Chachuat, B
Type
Journal Article
Abstract
We propose a complete-search algorithm for solving a class of non-convex, possibly infinite-dimensional, optimization problems to global optimality. We assume that the optimization variables are in a bounded subset of a Hilbert space, and we determine worst-case run-time bounds for the algorithm under certain regularity conditions of the cost functional and the constraint set. Because these run-time bounds are independent of the number of optimization variables and, in particular, are valid for optimization problems with infinitely many optimization variables, we prove that the algorithm converges to an (Formula presented.)-suboptimal global solution within finite run-time for any given termination tolerance (Formula presented.). Finally, we illustrate these results for a problem of calculus of variations.
Date Issued
2019-01
Date Acceptance
2017-11-28
Citation
Mathematical Programming, 2019, 173 (1-2), pp.221-249
ISSN
0025-5610
Publisher
Springer Berlin Heidelberg
Start Page
221
End Page
249
Journal / Book Title
Mathematical Programming
Volume
173
Issue
1-2
Copyright Statement
© The Author(s) 2017. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
Sponsor
Engineering & Physical Science Research Council (EPSRC)
Commission of the European Communities
Engineering & Physical Science Research Council (EPSRC)
Grant Number
EP/J006572/1
PCIG9-GA-2011-293953
EP/K503381/1
Subjects
Science & Technology
Technology
Physical Sciences
Computer Science, Software Engineering
Operations Research & Management Science
Mathematics, Applied
Computer Science
Mathematics
Infinite-dimensional optimization
Complete search
Branch-and-lift
Convergence analysis
Complexity analysis
CONVEX COMPUTATION
APPROXIMATIONS
INTERSECTION
INTEGRATION
ELLIPSOIDS
ALGORITHM
CUT
SET
Branch-and-lift
Complete search
Complexity analysis
Convergence analysis
Infinite-dimensional optimization
Operations Research
0102 Applied Mathematics
0103 Numerical and Computational Mathematics
0802 Computation Theory and Mathematics
Publication Status
Published
Date Publish Online
2017-12-16