A new interval method for locating the boundary of level sets

Abstract

An interval method for sensitivity analysis is presented that locates the boundary of level sets. Convergence conditions and the rate of convergence of the procedure are studied. The algorithm is applied to a real life parameter estimation problem, and its results are compared with those obtained with a traditional method based on the approximation of the Hessian matrix.

Keywords:

• Inclusion function
• interval arithmetic
• level set
• nonlinear optimization
• sensitivity analysis
• parameter estimation

C.R. Categories:

• G1.6
• B2.3

AMS Subject Classification:

• 65K05
• 90C30