A NEW TRUST-REGION ALGORITHM FOR NONLINEAR CONSTRAINED OPTIMIZATION
文献类型：期刊论文
| 作者 | Niu, Lingfeng; Yuan, Yaxiang |
| 刊名 | JOURNAL OF COMPUTATIONAL MATHEMATICS
 |
| 出版日期 | 2010 |
| 卷号 | 28期号:1页码:72-86 |
| 关键词 | Trust region method Augmented Lagrange function Filter method active set |
| ISSN号 | 0254-9409 |
| DOI | 10.4208/jcm.2009.09-m2924 |
| 英文摘要 | We propose a new trust region algorithm for nonlinear constrained optimization problems. In each iteration of our algorithm, the trial step is computed by minimizing a quadratic approximation to the augmented Lagrange function in the trust region. The augmented Lagrange function is also used as a merit function to decide whether the trial step should be accepted. Our method extends the traditional trust region approach by combining a filter technique into the rules for accepting trial steps so that a trial step could still be accepted even when it is rejected by the traditional rule based on merit function reduction. An estimate of the Lagrange multiplier is updated at each iteration, and the penalty parameter is updated to force sufficient reduction in the norm of the constraint violations. Active set technique is used to handle the inequality constraints. Numerical results for a set of constrained problems from the CUTEr collection are also reported. |
| 资助项目 | NSFC[10831006] ; CAS[kjcx-yw-s7] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000274262000006 |
| 出版者 | VSP BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/10805]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Niu, Lingfeng |
| 作者单位 | Chinese Acad Sci, Acad Math & Syst Sci, ICMSEC, LSEC, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Niu, Lingfeng,Yuan, Yaxiang. A NEW TRUST-REGION ALGORITHM FOR NONLINEAR CONSTRAINED OPTIMIZATION[J]. JOURNAL OF COMPUTATIONAL MATHEMATICS,2010,28(1):72-86. |
| APA | Niu, Lingfeng,&Yuan, Yaxiang.(2010).A NEW TRUST-REGION ALGORITHM FOR NONLINEAR CONSTRAINED OPTIMIZATION.JOURNAL OF COMPUTATIONAL MATHEMATICS,28(1),72-86. |
| MLA | Niu, Lingfeng,et al."A NEW TRUST-REGION ALGORITHM FOR NONLINEAR CONSTRAINED OPTIMIZATION".JOURNAL OF COMPUTATIONAL MATHEMATICS 28.1(2010):72-86. |
入库方式： OAI收割
来源：数学与系统科学研究院
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