Group for Research in Decision Analysis


On Timonov's Algorithm for Global Optimization of Univariate Lipschitz Functions

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Timonov proposes an algorithm for global maximization of univariate Lipschitz functions in which successive evaluation points are 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.

, 16 pages

This cahier was revised in September 1990