Extension of Piyavskii's Algorithm to
Continuous Global Optimization
Authors: Robert J. Vanderbei
ABSTRACT
We use the simple, but little-known, result that a uniformly
continuous function on a convex set is $\epsilon$-Lipschitz (as defined
below) to extend
Piyavskii's algorithm for Lipschitz global optimization to the larger
domain of continuous (not-necessarily-Lipschitz) global optimization.
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