Multivariate Lipschitz optimization: Survey and computational comparison
Per Christian Hansen, Eric Gourdin, Brigitte Jaumard · OSTI OAI (U.S. Department of Energy Office of Scientific and Technical Information) · 1994
Many methods have been proposed to minimize a multivariate Lipschitz function on a box. They pertain the three approaches: (i) reduction to the univariate case by projection (Pijavskii) or by using a space-filling curve (Strongin); (ii) construction and refinement of a single upper bounding function (Pijavskii, Mladineo, Mayne and Polak, Jaumard Hermann and Ribault, Wood...); (iii) branch and bound with local upper bounding functions (Galperin, Pint{acute e}r, Meewella and Mayne, the present authors). A survey is made, stressing similarities of algorithms, expressed when possible within a unified framework. Moreover, an extensive computational comparison is reported on.