Global Optimization on an Interval

Thomas Weber

Journal of Optimization Theory and Applications, 2017, vol. 172, issue 2, No 17, 684-705

Abstract: 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.

Keywords: Dynamic systems; Global optimality conditions; Optimal stopping; 49K05; 49K15; 91B06 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10957-016-1006-y

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