Groupe d’études et de recherche en analyse des décisions

G-94-14

Global Optimization of Hölder Functions

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We propose a branch-and-bound framework for the global optimization of unconstrained Hölder functions. The general framework is used to derive two algorithms. The first one is a generalization of Piyavskii's algorithm for univariate Lipschitz functions. The second algorithm, using a piecewise constant upper-bounding function, is designed for multivariate Hölder functions. A proof of convergence is provided for both algorithms. Computational experience is reported on several test functions from the literature.

, 32 pages

Ce cahier a été révisé en août 1995