A Method for Approximating Univariate Convex Functions using Only Function Value Evaluations
CentER Discussion Paper Series No. 2007-67
27 Pages Posted: 5 Sep 2007
Date Written: August 2007
In this paper, piecewise linear upper and lower bounds for univariate convex functions are derived that are only based on function value information. These upper and lower bounds can be used to approximate univariate convex functions. Furthermore, new Sandwich algorithms are proposed, that iteratively add new input data points in a systematic way, until a desired accuracy of the approximation is obtained. We show that our new algorithms that use only function-value evaluations converge quadratically under certain conditions on the derivatives. Under other conditions, linear convergence can be shown. Some numerical examples, including a Strategic investment model, that illustrate the usefulness of the algorithm, are given.
Keywords: approximation, convexity, meta-model, Sandwich algorithm
JEL Classification: C60
Suggested Citation: Suggested Citation