A NEW TRUST-REGION ALGORITHM FOR NONLINEAR CONSTRAINED OPTIMIZATION

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	A NEW TRUST-REGION ALGORITHM FOR NONLINEAR CONSTRAINED OPTIMIZATION
	Yaxiang Yuan; Lingfeng Niu
	2010
发表期刊	Journal of Computational Mathematics
ISSN	0254-9409
卷号	28 期号:1 页码:72
摘要	We propose a new trust region algorithm for nonlinear constrained optimization prob-lems.In each iteration of our algorithm, the trial step is computed by minimizing a quadratic approximation to the augmented Lagrange function in the trust region.The augmented Lagrange function is also used as a merit function to decide whether the trial step should be accepted.Our method extends the traditional trust region approach by combining a filter technique into the rules for accepting trial steps so that a trial step could still be accepted even when it is rejected by the traditional rule based on merit func-tion reduction.An estimate of the Lagrange multiplier is updated at each iteration, and the penalty parameter is updated to force sufficient reduction in the norm of the constraint violations.Active set technique is used to handle the inequality constraints.Numerical results for a set of constrained problems from the CUTEr collection are also reported.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/10806
专题	中国科学院数学与系统科学研究院
作者单位	中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Yaxiang Yuan,Lingfeng Niu. A NEW TRUST-REGION ALGORITHM FOR NONLINEAR CONSTRAINED OPTIMIZATION[J]. Journal of Computational Mathematics,2010,28(1):72.
APA	Yaxiang Yuan,&Lingfeng Niu.(2010).A NEW TRUST-REGION ALGORITHM FOR NONLINEAR CONSTRAINED OPTIMIZATION.Journal of Computational Mathematics,28(1),72.
MLA	Yaxiang Yuan,et al."A NEW TRUST-REGION ALGORITHM FOR NONLINEAR CONSTRAINED OPTIMIZATION".Journal of Computational Mathematics 28.1(2010):72.