Efficient Line Searching for Convex Functions

CentER Discussion Paper No. 2004-52

23 Pages Posted: 23 Jul 2004

See all articles by Dick den Hertog

Dick den Hertog

Tilburg University - Department of Econometrics & Operations Research

Edgar Den Boef

Eindhoven University of Technology (TUE)

Date Written: May 2004

Abstract

In this paper, we propose two new line search methods for convex functions. These new methods exploit the convexity property of the function, contrary to existing methods. The worst method is an improved version of the golden section method. For the second method, it is proven that after two evaluations the objective gap is at least halved. The practical efficiency of the methods is shown by applying our methods to a real-life bus and buffer size optimization problem and to several classes of convex functions.

Keywords: Optimization, efficiency, convexity

JEL Classification: C61, C63

Suggested Citation

den Hertog, Dick and Den Boef, Edgar, Efficient Line Searching for Convex Functions (May 2004). CentER Discussion Paper No. 2004-52. Available at SSRN: https://ssrn.com/abstract=567146 or http://dx.doi.org/10.2139/ssrn.567146

Dick Den Hertog (Contact Author)

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands

Edgar Den Boef

Eindhoven University of Technology (TUE) ( email )

PO Box 513
Eindhoven, 5600 MB
Netherlands

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