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An ODE-based trust region method for unconstrained optimization problems

✍ Scribed by Yigui Ou; Qian Zhou; Haichan Lin

Publisher: Elsevier Science
Year: 2009
Tongue: English
Weight: 485 KB
Volume: 232
Category: Article
ISSN: 0377-0427
DOI: 10.1016/j.cam.2009.06.012

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✦ Synopsis

In this paper, a new trust region algorithm is proposed for solving unconstrained optimization problems. This method can be regarded as a combination of trust region technique, fixed step-length and ODE-based methods. A feature of this proposed method is that at each iteration, only a system of linear equations is solved to obtain a trial step. Another is that when a trial step is not accepted, the method generates an iterative point whose step-length is defined by a formula. Under some standard assumptions, it is proven that the algorithm is globally convergent and locally superlinear convergent. Preliminary numerical results are reported.

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