A hybrid trust region algorithm for unconstrained optimization

作者：Ou, Yigui^*

来源：Applied Numerical Mathematics, 2011, 61(7): 900-909.

DOI：10.1016/j.apnum.2011.03.002

• Trust region method
• Line search technique
• ODE-based methods
• Unconstrained optimization

This paper presents a hybrid trust region algorithm for unconstrained optimization problems. It can be regarded as a combination of ODE-based methods, line search and trust region techniques. A feature of the proposed method is that at each iteration, a system of linear equations is solved only once to obtain a trial step. Further, when the trial step is not accepted, the method performs an inexact line search along it instead of resolving a new linear system. Under reasonable assumptions, the algorithm is proven to be globally and superlinearly convergent. Numerical results are also reported that show the efficiency of this proposed method.

• 出版日期2011-7
• 单位海南大学