next up previous
Next: Verifying Feasibility Up: What is Global Optimization Previous: An Example of Interval

The Fritz-John Equations

 

Critical points of the constrained optimization Problem 2 are zeros of the Fritz-John system defined by
 equation356
where tex2html_wrap_inline1068, tex2html_wrap_inline1070, the tex2html_wrap_inline1072 are unconstrained, and the last equation is one of several possible normalization conditions. For details, see [6, §10.5,] or [8, §5.2.5,].

An interval Newton method applied to the system (12) is used within GlobSol to narrow the size of the boxes tex2html_wrap_inline64 considered within the overall algorithm. The bound constraints are included by applying the interval Newton method within a reduced space, that is, by treating boxes with active bound constraints separately, and fixing variables corresponding to active bound constraints. Similarly, inequality constraints that are certainly feasible (i.e. those tex2html_wrap_inline1076 for which the interval extension tex2html_wrap_inline770, and, hence, for which tex2html_wrap_inline1080) are removed from the Fritz-John system. The current interval bounds for U and V are associated with each box tex2html_wrap_inline64, and are inherited by sub-boxes if tex2html_wrap_inline64 is subdivided.

The verification properties of the interval Newton method can, in theory, be used to verify existence of a feasible critical point. However, the overall branch and bound algorithm often only needs verification of a feasible point within a particular small box. Approximate feasible critical points are sometimes much harder to obtain than approximate feasible points. Similarly, an alternate verification procedure (see §8) is more robust than using the Fritz-John system to merely verify the existence of feasible points.



R. Baker Kearfott
Wed May 27 11:22:02 CDT 1998