A nonmonotone trust-region algorithm with nonmonotone penalty parameters for constrained optimization

doi:10.1016/j.cam.2003.12.048

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	A nonmonotone trust-region algorithm with nonmonotone penalty parameters for constrained optimization
	Chen, ZW ; Zhang, XS
	2004-11-01
发表期刊	JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
ISSN	0377-0427
卷号	172 期号:1 页码:7-39
摘要	In this paper, we present a nonmonotone trust-region algorithm with nonmonotone penalty parameters for the solution of optimization problems, with nonlinear equality constraints and bound constraints. The proposed algorithm combines an SQP approach with a trust-region strategy to globalize the process. Each step is obtained through the computation of a normal step (to reduce infeasibility) and a tangential step (to decrease some merit function). The algorithm makes use of an augmented Lagrangian function as merit function, and allows the value of this merit function and the penalty parameter involved in it to decrease non-monotonically. The global convergence theory for the proposed algorithm is developed without regularity assumption, and shows that any limit point of the sequence generated by the algorithm is a phi-stationary point, while at least one limit point, under the suitable assumptions, is a substationary point (and a stationary point if it is feasible). Some preliminary numerical experiments are also reported. (C) 2003 Elsevier B.V. All rights reserved.
关键词	trust-region method nonmonotone constrained optimization
DOI	10.1016/j.cam.2003.12.048
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000224081800002
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/579
专题	应用数学研究所
通讯作者	Chen, ZW
作者单位	1.Suzhou Univ, Dept Math, Suzhou 215006, Peoples R China 2.Chinese Acad Sci, AMSS, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Chen, ZW,Zhang, XS. A nonmonotone trust-region algorithm with nonmonotone penalty parameters for constrained optimization[J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,2004,172(1):7-39.
APA	Chen, ZW,&Zhang, XS.(2004).A nonmonotone trust-region algorithm with nonmonotone penalty parameters for constrained optimization.JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,172(1),7-39.
MLA	Chen, ZW,et al."A nonmonotone trust-region algorithm with nonmonotone penalty parameters for constrained optimization".JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 172.1(2004):7-39.