On global optimization using an estimate of Lipschitz constant and simplicial partition

A new algorithm is proposed for finding the global minimum of a multi-variate black-box Lipschitz function with an unknown Lipschitz constant. The feasible region is initially partitioned into simplices; in the subsequent iteration, the most suitable simplices are selected and bisected via the middle point of the longest edge. The suitability of a simplex for bisection is evaluated by minimizing of a surrogate function which mimics the lower bound for the considered objective function over that simplex. The surrogate function is defined using an estimate of the Lipschitz constant and the objective function values at the vertices of a simplex. The novelty of the algorithm is the sophisticated method of estimating the Lipschitz constant, and the appropriate method to minimize the surrogate function. The proposed algorithm was tested using 600 random test problems of different complexity, showing competitive results with two popular advanced algorithms which are based on similar assumptions.