A Retrospective Filter Trust Region Algorithm for Unconstrained Optimization

• 作者: Yue Lu Zhongwen Chen
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: UNCONSTRAINED Optimization RETROSPECTIVE TRUST Region Method MULTI-DIMENSIONAL FILTER Technique
• 年，卷（期）: 2010,（3）
• 页码范围: 179-188
• 页数: 10页
• 分类号: O22

摘要

In this paper, we propose a retrospective filter trust region algorithm for unconstrained optimization, which is based on the framework of the retrospective trust region method and associated with the technique of the multi-dimensional filter. The new algorithm gives a good estimation of trust region radius, relaxes the condition of accepting a trial step for the usual trust region methods. Under reasonable assumptions, we analyze the global convergence of the new method and report the preliminary results of numerical tests. We compare the results with those of the basic trust region algorithm, the filter trust region algorithm and the retrospective trust region algorithm, which shows the effectiveness of the new algorithm.