Solution to Global Optimization of Concave Function Via Optimal Control Method

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.