On the reduced-set pareto-lipschitzian optimization

J Mockus, R Paulavičius - Computational science and …, 2013 - epublications.vu.lt
Abstract [eng] A well-known example of global optimization that provides solutions within
fixed error limits is optimization of functions with a known Lipschitz constant. In many real-life
problems this constant is unknown. To address that a method called Pareto-Lipschitzian
Optimization (PLO) was described that provides solutions within fixed error limits for
functions with unknown Lipschitz constants. In this approach, a set of all unknown Lipschitz
constants is regarded as multiple criteria using the concept of Pareto Optimality (PO). In this …