An interior-point penalty active-set trust-region algorithm

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• 作者：Bothina El-Sobky ; ^{bothinaelsobky@yahoo.com" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Active set ; Penalty method ; Interior-point ; Coleman&ndash ; Li strategy ; Trust region ; Global convergence
• 刊名：Journal of the Egyptian Mathematical Society
• 出版年：2016
• 出版时间：October 2016
• 年：2016
• 卷：24
• 期：4
• 页码：672-680
• 全文大小：461 K

文摘

In this work, an active set strategy is used together with a Coleman–Li strategy and penalty method to transform a general nonlinear programming problem with bound on the variables to unconstrained optimization problem with bound on the variables. A trust-region globalization strategy is used to compute a step. A global convergence theory for the proposed algorithm is presented under credible assumptions.

Prefatory numerical experiment on the algorithm is presented. The rendering of the algorithm is reported on some classical problem.