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A modified trust region algorithm
Zhu, ZW
2002
Source PublicationOPTIMIZATION METHODS & SOFTWARE
ISSN1055-6788
Volume17Issue:4Pages:587-604
AbstractIn this article, we propose an algorithm which solves unconstrained optimization problems by combining the trust region method with the quasi-Newton line search method. During consecutive trust region steps, when the quasi-Newton matrix B-k approximates the Hessian matrix of the objective function at x(k) well, the algorithm tries a full quasi-Newton step and, if this step is successful, continues trying quasi-Newton steps. On the other hand, when employing the line search method, if the quasi-Newton direction is nearly orthogonal to the gradient of the objective function or the step size becomes too small, the algorithm switches back to trust region steps. Convergence properties of the algorithm are proved, and numerical results are presented.
Keywordtrust region method quasi-Newton method unconstrained optimization nonlinear optimization
DOI10.1080/1055678021000049336
Language英语
WOS Research AreaComputer Science ; Operations Research & Management Science ; Mathematics
WOS SubjectComputer Science, Software Engineering ; Operations Research & Management Science ; Mathematics, Applied
WOS IDWOS:000178789300002
PublisherTAYLOR & FRANCIS LTD
Citation statistics
Cited Times:1[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/17900
Collection中国科学院数学与系统科学研究院
AffiliationChinese Acad Sci, Inst Computat Math & Sci Engn Comp, Beijing 100080, Peoples R China
Recommended Citation
GB/T 7714
Zhu, ZW. A modified trust region algorithm[J]. OPTIMIZATION METHODS & SOFTWARE,2002,17(4):587-604.
APA Zhu, ZW.(2002).A modified trust region algorithm.OPTIMIZATION METHODS & SOFTWARE,17(4),587-604.
MLA Zhu, ZW."A modified trust region algorithm".OPTIMIZATION METHODS & SOFTWARE 17.4(2002):587-604.
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