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Mathematical Statement of the Global Optimization Problem

 

The global optimization problem can be phrased as
 equation81

Here, the inequality constraints and bound constraints are distinguished. This is because special algorithmic techniques may be used to handle bound constraints. Sometimes, these techniques are more efficient than handling bound constraints as inequality constraints, but this may not be so if there are a large number of bound constraints.

Also note that the bound constraints tex2html_wrap_inline42 and tex2html_wrap_inline44 are distinguished from the bounds on the search region tex2html_wrap_inline46. A mathematically-inclined user can think of a search region limit, say tex2html_wrap_inline48 for some i, as representing an open boundary if i does not correspond to some tex2html_wrap_inline54 for a bound-constraint, and as being closed otherwise. If there are no bound constraints or if one or more of the inequality constraints is infeasible over the entire box tex2html_wrap_inline64, then it is possible that GlobSol will return no answer. However, if tex2html_wrap_inline56 is continuous, all search region limits correspond to bound constraints, and the function is otherwise unconstrained, then GlobSol must return a global minimum.

Note also that inequality constraints may be transformed into equality constraints and bound constraints with the introduction of slack variables. However, this is usually not a good idea in GlobSol. This is because certainly feasible inequality constraints can be ignored, whereas equality constraints cannot. (Certainly feasible inequality constraints are inequality constraints tex2html_wrap_inline58 for which tex2html_wrap_inline60, where tex2html_wrap_inline62 is the interval extension over the box tex2html_wrap_inline64 under consideration in the algorithm.)

Finally, note that a nonlinear system of equations can be solved by setting tex2html_wrap_inline264, setting m=n, and setting tex2html_wrap_inline268, tex2html_wrap_inline270. However, because of the more complicated structure of the Fritz-John equations (see §7), it is advisable to use find_roots, rather than find_global_min for nonlinear systems that do not have additional inequality constraints.


next up previous
Next: The General Branch and Up: What is Global Optimization Previous: Mathematical Statement of the

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