Graduate Analysis Seminar
Xin Tong
A Locally Adaptive Algorithm for Global Minimization of Univariate Functions
Abstract: In this talk, I will introduce a locally adaptive algorithm for global minimization of univariate functions on a bounded interval. These functions are smooth and not too highly oscillatory, but are not necessarily convex, in the Sobolev space $W_2^{\infty}$. This algorithm samples more function values where the function is small in value and more spiky. It provides an estimated minimum that satisfies a user-specified absolute error tolerance. This algorithm, called funmin_g, is implemented in the Guaranteed Automatic Integrate Library (GAIL). There are numerical examples that illustrate its superior performance in comparison to other more established solvers including MATLAB's fminbnd and Chebfun's min.
Wednesday May 2, 2018 at 4:00 PM in SEO 512