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Global Optimization on an Interval

This paper provides expressions for the largest and smallest solution of a 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 resulting optimality conditions yield two-point boundary problems as in dynamic optimization problems.

    Reference

    • EPFL-REPORT-215352

    Record created on 2016-01-26, modified on 2016-08-09

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