Global optimization using a dynamical systems approach

Global optimization using a dynamical systems approach

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Article ID: iaor2007444
Country: Netherlands
Volume: 34
Issue: 4
Start Page Number: 569
End Page Number: 587
Publication Date: Apr 2006
Journal: Journal of Global Optimization
Authors: ,
Keywords: programming: branch and bound
Abstract:

We develop new algorithms for global optimization by combining well known branch and bound methods with multilevel subdivision techniques for the computation of invariant sets of dynamical systems. The basic idea is to view iteration schemes for local optimization problems – e.g. Newton's method or conjugate gradient methods – as dynamical systems and to compute set coverings of their fixed points. The combination with bounding techniques allows for the computation of coverings of the global optima only. We show convergence of the new algorithms and present a particular implementation.

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