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A practical trust region method for equality constrained optimization problems

 

作者: Jianzhong Zhang,   Detong Zhu,   Yuanan FAN,  

 

期刊: Optimization Methods and Software  (Taylor Available online 1993)
卷期: Volume 2, issue 1  

页码: 45-68

 

ISSN:1055-6788

 

年代: 1993

 

DOI:10.1080/10556789308805534

 

出版商: Gordon and Breach Science Publishers

 

关键词: Nonlinear optimization;Trust region method;Quasi-Newton method;Superlinear convergence.

 

数据来源: Taylor

 

摘要:

In this paper we propose an easy-to-implement algorithm for solving general nonlinear optimization problems with nonlinear equality constraints. In order to deal with large scale problems, a reduced Hessian is used to replace full Hessian matrix. To avoid solving quadratic trust region subproblems exactly, which usually takes most computing time, we only require an approximate solution with less computation. The calculation of correction steps, that is necessary from theoretical view point to overcome Maratos effect but often brings in negative results in practice, is avoided in most cases by setting a criterion to judge its necessity. Global convergence and a local superlinear rate are then proved. Numerical results are reported to show that this algorithm has good performance.

 

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