Local convergence of a trust-region algorithm with line search filter technique for nonlinear constrained optimization

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• 作者：Yonggang Pei ; ^a ; ^{yonggpei@gmail.com" class="auth_mail" title="E-mail the corresponding author} ; ^{ygpei59@gmail.com" class="auth_mail" title="E-mail the corresponding author} ; Detong Zhu^b ; ^{dtzhu@shnu.edu.cn" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Nonlinear programming ; Trust-region method ; Line search ; Filter method ; Local convergence
• 刊名：Applied Mathematics and Computation
• 出版年：2016
• 出版时间：15 January 2016
• 年：2016
• 卷：273
• 期：Complete
• 页码：797-808
• 全文大小：368 K

文摘

A trust-region algorithm in association with line search filter technique for solving nonlinear equality constrained programming is proposed in this paper. In the current iteration, the trial step providing sufficient descent is generated by solving a corresponding trust-region subproblem. Then, the step size is decided by backtracking line search together with filter technique to obtain the next iteration point. The advantage of this method is that resolving trust-region subproblem many times to determine a new iteration point in traditional trust-region method can be avoided and hence the expensive computation can be lessened. And the difficult decisions in regard to the choice of penalty parameters in the merit functions can be avoided by using filter technique. Second order correction steps are introduced in the proposed algorithm to overcome Maratos effect. Convergence analysis shows that fast local convergence can be achieved under some mild assumptions. The preliminary numerical results are reported.