Constrained optimization: Difference between revisions

Revision as of 12:30, 15 October 2020

Revision as of 05:20, 14 December 2020

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On the other hand, this estimated cost cannot be lower than the effective cost that can be obtained by extending the solution, as otherwise the algorithm could backtrack while a solution better than the best found so far exists. As a result, the algorithm requires an upper bound on the cost that can be obtained from extending a partial solution, and this upper bound should be as small as possible.

A variation of this approach called Hansen's method uses [[Interval arithmetic#History|interval methods]].<ref>{{cite book |last=Leader|first=Jeffery J. | title=Numerical Analysis and Scientific Computation |year=2004|publisher=Addison Wesley |___location= |isbn= 0-201-73499-0 }}</ref> It inherently implements rectangular constraints.

====First-choice bounding functions====

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==Further reading==

*{{cite book |first=Dimitri P. |last=Bertsekas |authorlinkauthor-link=Dimitri Bertsekas |title=Constrained Optimization and Lagrange Multiplier Methods |___location=New York |publisher=Academic Press |year=1982 |isbn=0-12-093480-9 }}

*{{cite book

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