Efficient Line Searching for Convex Functions

E. den Boef, D. den Hertog

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Abstract

In this paper we propose two new line search methods for convex functions. These new methods exploit the convexity property of the function, contrary to existing methods.The worst method is an improved version of the golden section method.For the second method it is proven that after two evaluations the objective gap is at least halved.The practical efficiency of the methods is shown by applying our methods to a real-life bus and buffer size optimization problem and to several classes of convex functions.
Original languageEnglish
Place of PublicationTilburg
PublisherOperations research
Number of pages23
Volume2004-52
Publication statusPublished - 2004

Publication series

NameCentER Discussion Paper
Volume2004-52

Keywords

  • convex optimization
  • golden section
  • line search.

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