A trust-region-based derivative free algorithm for mixed integer programming

作者：Newby Eric^*; Ali M M

来源：Computational Optimization and Applications, 2015, 60(1): 199-229.

DOI：10.1007/s10589-014-9660-1

• Mixed integer programming
• Nonlinear programming
• Derivative free algorithm
• Trust region methods

A trust-region-based derivative free algorithm for solving bound constrained mixed integer nonlinear programs is developed in this paper. The algorithm is proven to converge to a local minimum after a finite number of function evaluations. In addition, an improved definition of local minima of mixed integer programs is proposed. Computational results showing the effectiveness of the derivative free algorithm are presented.

• 出版日期2015-1