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Digitale Medien

Projected quasi-Newton algorithm with trust region for constrained optimization (1990)

Zhang, J. Z. ; Zhu, D. T.

Springer

Journal of optimization theory and applications 67 (1990), S. 369-393

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ISSN: 1573-2878

Schlagwort(e): Two-sided projected Hessians ; trust regions ; differentiable penalty functions ; global convergence ; two-step Q-superlinear rate ; constrained optimization

Quelle: Springer Online Journal Archives 1860-2000

Thema: Mathematik

Notizen: Abstract In Ref. 1, Nocedal and Overton proposed a two-sided projected Hessian updating technique for equality constrained optimization problems. Although local two-step Q-superlinear rate was proved, its global convergence is not assured. In this paper, we suggest a trust-region-type, two-sided, projected quasi-Newton method, which preserves the local two-step superlinear convergence of the original algorithm and also ensures global convergence. The subproblem that we propose is as simple as the one often used when solving unconstrained optimization problems by trust-region strategies and therefore is easy to implement.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1007/BF00940481

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