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Global Optimization on an Interval
Weber, Thomas A
2016
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.
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Type
report
Authors
Weber, Thomas A
Publication date
2016
EPFL units
Available on Infoscience
January 26, 2016