A branch and bound algorithm for the global optimization of Hessian Lipschitz continuous functions

Journal article

We present a branch and bound algorithm for the global optimization of a twice differentiable nonconvex objective function with a Lipschitz continuous Hessian over a compact, convex set. The algorithm is based on applying cubic regularisation techniques to the objective function within an overlapping branch and bound algorithm for convex constrained global optimization. Unlike other branch and bound algorithms, lower bounds are obtained via nonconvex underestimators of the function. For a numerical example, we apply the proposed branch and bound algorithm to radial basis function approximations. © 2012 Springer Science+Business Media, LLC.

Authors: Fowkes, J; Gould, N; Farmer, C

• Journal: Journal of Global Optimization
• Volume: 56
• Issue: 4
• Pages: 1-25
• Publication date: 2012-01-01
• DOI: 10.1007/s10898-012-9937-9
• EISSN: 1573-2916
• ISSN: 0925-5001