关于求解凹函数全局优化问题的最优控制方法

Solution to Global Optimization of Concave Function Via Optimal Control Method

摘要:

研究一类凹函数全局优化问题的求解方法.建立凹函数全局优化问题和相对应的最优控制问题之间的等价关系.利用Krotov沿拓法,构造辅助函数,解决了与原问题等价的的最优控制问题,并对目标函数做了一些推广.

Abstract:

It is studied how to get solution to global optimization of the concave function problem.The relationship equal in value between the global optimization of concave function problem and the corresponding optimal control problem is established.The result shows that,with Krotov’s extension method,the solution to a kind of global optimization of concave function problem can be obtained by constructing auxiliary functions.Furthermore,the method is applied to other concave objective functions.Some examples are given to illustrate the method.