This paper presents a relatively “unfettered” method for finding global optima to constrained nonlinear programs. The method reformulates the given program into a bi-objective mixed-integer program that is then solved for the Nash equilibrium. A numerical example (whose solution provides a new benchmark against which other algorithms may be assessed) is included to illustrate the efficacy of the method.
Citation
Siwale, I. (2014).On Global Optimization. Technical Report No. RD-23-2014, London: Apex Research Ltd.