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AN AUGMENTED LAGRANGIAN TRUST REGION METHOD WITH A BI-OBJECT STRATEGY

文献类型：期刊论文

作者Kou, Caixia1; Chen, Zhongwen2; Dai, Yu-Hong3; Han, Haifei2
刊名JOURNAL OF COMPUTATIONAL MATHEMATICS
出版日期2018
卷号36期号:3页码:331-350
关键词Nonlinear constrained optimization Augmented Lagrangian function Bi-object strategy Global convergence
ISSN号0254-9409
DOI10.4208/jcm.1705-m2016-0820
英文摘要An augmented Lagrangian trust region method with a bi-object strategy is proposed for solving nonlinear equality constrained optimization, which falls in between penalty-type methods and penalty-free ones. At each iteration, a trial step is computed by minimizing a quadratic approximation model to the augmented Lagrangian function within a trust region. The model is a standard trust region subproblem for unconstrained optimization and hence can efficiently be solved by many existing methods. To choose the penalty parameter, an auxiliary trust region subproblem is introduced related to the constraint violation. It turns out that the penalty parameter need not be monotonically increasing and will not tend to infinity. A bi-object strategy, which is related to the objective function and the measure of constraint violation, is utilized to decide whether the trial step will be accepted or not. Global convergence of the method is established under mild assumptions. Numerical experiments are made, which illustrate the efficiency of the algorithm on various difficult situations.
资助项目Chinese NSF[11631013] ; Chinese NSF[11331012] ; Chinese NSF[71331001] ; Chinese NSF[11401038] ; Chinese NSF[11471052] ; Chinese NSF[11371273] ; National 973 Program of China[2015CB856000]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000455995700002
出版者GLOBAL SCIENCE PRESS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/32256]  
专题计算数学与科学工程计算研究所
通讯作者Kou, Caixia
作者单位1.Beijing Univ Posts & Telecommun, Sch Sci, Beijing 100876, Peoples R China
2.Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, ICMSEC, LSEC, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Kou, Caixia,Chen, Zhongwen,Dai, Yu-Hong,et al. AN AUGMENTED LAGRANGIAN TRUST REGION METHOD WITH A BI-OBJECT STRATEGY[J]. JOURNAL OF COMPUTATIONAL MATHEMATICS,2018,36(3):331-350.
APA Kou, Caixia,Chen, Zhongwen,Dai, Yu-Hong,&Han, Haifei.(2018).AN AUGMENTED LAGRANGIAN TRUST REGION METHOD WITH A BI-OBJECT STRATEGY.JOURNAL OF COMPUTATIONAL MATHEMATICS,36(3),331-350.
MLA Kou, Caixia,et al."AN AUGMENTED LAGRANGIAN TRUST REGION METHOD WITH A BI-OBJECT STRATEGY".JOURNAL OF COMPUTATIONAL MATHEMATICS 36.3(2018):331-350.

入库方式： OAI收割

来源：数学与系统科学研究院

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