论文标题

准分支,以平滑的全局优化绑定

Quasi Branch and Bound for Smooth Global Optimization

论文作者

Dym, Nadav

论文摘要

准分支和界限是最近引入的分支和结合的概括,其中下限被准低界限的松弛概念所取代,仅对于包含最小化器的子立方体而言仅是下限。本文致力于研究这种方法的可能好处,以最大程度地减少立方体的平滑功能的问题。这是通过建议两个准分支和结合算法qbnb(2)和qbnb(3)来实现的,这些算法与替代分支和结合算法相比有利。 我们提出的第一种算法QBNB(2)仅基于二阶衍生物的结合而无需计算衍生物的二阶收敛。因此,该算法适用于衍生的自由优化,对于诸如Lipschitz优化之类的典型算法仅具有一阶收敛性,因此由于聚类问题而导致的准确性有限。此外,QBNB(2)比二阶Lipschitz梯度算法更有效,该梯度确实需要精确计算梯度。 我们提出的第二算法QBNB(3)具有三阶收敛和有限终止。与具有相似保证的BNB算法相反,通常通过解决相对时间消耗凸优化问题来计算下限,QBNB(3)的计算仅需要解决少量的牛顿迭代。我们的实验与最先进的分支和结合算法相比,验证了这两种方法的潜力。

Quasi branch and bound is a recently introduced generalization of branch and bound, where lower bounds are replaced by a relaxed notion of quasi-lower bounds, required to be lower bounds only for sub-cubes containing a minimizer. This paper is devoted to studying the possible benefits of this approach, for the problem of minimizing a smooth function over a cube. This is accomplished by suggesting two quasi branch and bound algorithms, qBnB(2) and qBnB(3), that compare favorably with alternative branch and bound algorithms. The first algorithm we propose, qBnB(2), achieves second order convergence based only on a bound on second derivatives, without requiring calculation of derivatives. As such, this algorithm is suitable for derivative free optimization, for which typical algorithms such as Lipschitz optimization only have first order convergence and so suffer from limited accuracy due to the clustering problem. Additionally, qBnB(2) is provably more efficient than the second order Lipschitz gradient algorithm which does require exact calculation of gradients. The second algorithm we propose, qBnB(3), has third order convergence and finite termination. In contrast with BnB algorithms with similar guarantees who typically compute lower bounds via solving relatively time consuming convex optimization problems, calculation of qBnB(3) bounds only requires solving a small number of Newton iterations. Our experiments verify the potential of both these methods in comparison with state of the art branch and bound algorithms.

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