Linear scaling and the DIRECT algorithm

In this paper, we discuss the performance of the DIRECT global optimization algorithm on problems with linear scaling. We show with computations that the performance of DIRECT can be affected by linear scaling of the objective function. We also provide a theoretical result which shows that DIRECT does not perform well when the absolute value of the objective function is large enough. Then we present DIRECT‐a, a modification of DIRECT, to eliminate the sensitivity to linear scaling of the objective function. We prove theoretically that linear scaling of the objective function does not affect the performance of DIRECT‐a. Similarly, we prove that some modifications of DIRECT are also unaffected by linear scaling of the objective function, while the original DIRECT algorithm is sensitive to linear scaling. Numerical results in this paper show that DIRECT‐a is more robust than the original DIRECT algorithm, which support the theoretical results. Numerical results also show that careful choices of the parameter ϵ can help DIRECT perform well when the objective function is poorly linearly scaled.