An affine scaling optimal path method with interior backtracking curvilinear technique for linear constrained optimization

作者：Wang Yunjuan^*; Zhu Detong

来源：Applied Mathematics and Computation, 2009, 207(1): 178-196.

DOI：10.1016/j.amc.2008.10.023

• Affine scaling
• Interior point
• Backtracking
• Nonmonotonic technique
• Optimal path
• Convergence

This paper presents an affine scaling optimal path approach in association with nonmonotonic interior backtracking line search technique for nonlinear optimization subject to linear constraints. We shall employ the eigensystem decomposition and affine scaling mapping to form affine scaling optimal curvilinear path very easily. By using interior backtracking line search technique, each iterate switches to trial step of strict interior feasibility. The nonmonotone criterion is used to speed up the convergence progress in the contours of objective function with large curvature. Theoretical analysis is given which prove that the proposed algorithm is globally convergent and has a local superlinear convergence rate under some reasonable conditions. The results of numerical experiments are reported to show the effectiveness of the proposed algorithm.

• 出版日期2009-1-1
• 单位上海电机学院; 上海师范大学