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

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  • Pei, Yonggang
  • Zhu, Detong

Abstract

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.

Suggested Citation

  • Pei, Yonggang & Zhu, Detong, 2016. "Local convergence of a trust-region algorithm with line search filter technique for nonlinear constrained optimization," Applied Mathematics and Computation, Elsevier, vol. 273(C), pages 797-808.
    • Handle: RePEc:eee:apmaco:v:273:y:2016:i:c:p:797-808
    DOI: 10.1016/j.amc.2015.10.060
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    References listed on IDEAS

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    1. Chungen Shen & Sven Leyffer & Roger Fletcher, 2012. "A nonmonotone filter method for nonlinear optimization," Computational Optimization and Applications, Springer, vol. 52(3), pages 583-607, July.
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    Cited by:

    1. Peiping Shen & Kaimin Wang & Ting Lu, 2020. "Outer space branch and bound algorithm for solving linear multiplicative programming problems," Journal of Global Optimization, Springer, vol. 78(3), pages 453-482, November.

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