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Global Optimization on an Interval

Author

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  • Thomas A. Weber

    (École Polytechnique Fédérale de Lausanne)

Abstract

This paper provides expressions for solutions of a one-dimensional global optimization problem using an adjoint variable which represents the available one-sided improvements up to the interval “horizon.” Interpreting the problem in terms of optimal stopping or optimal starting, the solution characterization yields two-point boundary problems as in dynamic optimization. Results also include a procedure for computing the adjoint variable, as well as necessary and sufficient global optimality conditions.

Suggested Citation

  • Thomas A. Weber, 2017. "Global Optimization on an Interval," Journal of Optimization Theory and Applications, Springer, vol. 172(2), pages 684-705, February.
    • Handle: RePEc:spr:joptap:v:172:y:2017:i:2:d:10.1007_s10957-016-1006-y
    DOI: 10.1007/s10957-016-1006-y
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    References listed on IDEAS

    as
    1. Jean Tirole, 1988. "The Theory of Industrial Organization," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262200716, April.
    2. Weber, Thomas A., 2011. "Optimal Control Theory with Applications in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262015730, April.
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    Cited by:

    1. Thomas A. Weber, 2017. "Optimal switching between cash-flow streams," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(3), pages 567-600, December.

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