Differential Inclusions, Control and Optimization 20 (2000) 257-278
doi: 10.7151/dmdico.1015

[BIBTex] [PDF] [PS]

A PRIMAL-DUAL INTEGRAL METHOD IN GLOBAL OPTIMIZATION

Jens Hichert

Geomagic GmbH
Harbergstr. 73, D-99099 Erfurt, Germany

Armin Hoffmann

Institute of Mathematics
Technical University Ilmenau
PF 100565, D-98684 Ilmenau, Germany
e-mail: armin.hoffmann@mathematik.tu-ilmenau.de

Huan Xoang Phú

Institute of Mathematics Hanoi
P.O. Box 631 Bo Ho, 10 000 Hanoi, Vietnam

Rüdiger Reinhardt

Institute of Mathematics
Technical University Ilmenau
PF 100565, D-98684 Ilmenau, Germany

Abstract

Using the Fenchel conjugate Fc of Phú's Volume function F of a given essentially bounded measurable function f defined on the bounded box D ⊂ Rn, the integral method of Chew and Zheng for global optimization is modified to a superlinearly convergent method with respect to the level sequence. Numerical results are given for low dimensional functions with a strict global essential supremum.

Keywords: global optimization, integral method, Monte Carlo method, primal dual algorithm, level set method.

1991 Mathematics Subject Classification: 90C30, 65C05, 65K05, 49M29.

References

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Received 10 February 2000
Revised 19 May 2000