Groupe d’études et de recherche en analyse des décisions

G-90-12

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

Ce cahier a été révisé en septembre 1990