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1.
1引言设H为一给定的n×n对称矩阵,cR",本文考虑如}的约束优化问题这里a>0为给定的参数,C={xRnx<a是R”中的一个球体,K是一个简单凸闭集.当K=Rn时,问题(P)便是无约束优化的信赖域子问题.当K={xRnμ≤x≤υ5,(μ1,μ2,…,μn)T,υ=(υ1,υ2…,υn)T,且—∞<μi<υi<v<+∞,i=1,2,…,n时,问题(P)便是用信赖域方法求解带上下界约束的优化问题时遇到的子问题.对于无约束信赖域方法的子问题已经有了比较成熟的算法[8,12-13,15-16].K=R…  相似文献   

2.
借鉴无约束优化问题的BFGS信赖域算法,建立了非线性一般约束优化问题的BFGS信赖域算法,并证明了算法的全局收敛性.数值实验表明,算法是有效的.  相似文献   

3.
简单界约束优化的仿射尺度内点信赖域算法的收敛性   总被引:3,自引:0,他引:3  
本文对简单界约束优化问题提出一种仿射尺度内点信赖域算法,讨论了算法的全 局收敛性,在没有严格互补假设条件下,分析了算法的局部收敛性,给出了数值试验结果.  相似文献   

4.
5.
主要介绍了求解界约束优化问题的有效集方法,包括投影共轭梯度法和有效集识别函数法,讨论了各自的优点和不足.最后,指出了有效集法的研究趋势及应用前景.  相似文献   

6.
带非线性不等式约束优化问题的信赖域算法   总被引:1,自引:0,他引:1  
欧宜贵 《应用数学》2006,19(1):80-85
借助于KKT条件和NCP函数,提出了求解带非线性不等式约束优化问题的信赖域算法.该算法在每一步迭代时,不必求解带信赖域界的二次规划子问题,仅需求一线性方程组系统.在适当的假设条件下,它还是整体收敛的和局部超线性收敛的.数值实验结果表明该方法是有效的.  相似文献   

7.
该文给出了一个求解非线性系统的信赖域方法.主要思想是通过引入松弛变量,将问题等价地转化为带非负约束的最优化问题.作者利用有效集策略,在每次迭代中只需求解一个低维的信赖域子问题,该信赖域子问题是通过截断共轭梯度法来近似求解的.在较弱的条件下,获得了一个更一般的收敛性结果.  相似文献   

8.
柳颜  贺素香 《应用数学》2020,33(1):138-145
本文提出一个求解不等式约束优化问题的基于指数型增广Lagrange函数的信赖域方法.基于指数型增广Lagrange函数,将传统的增广Lagrange方法的精确求解子问题转化为一个信赖域子问题,从而减少了计算量,并建立相应的信赖域算法.在一定的假设条件下,证明了算法的全局收敛性,并给出相应经典算例的数值实验结果.  相似文献   

9.
高成修  王芳华 《数学杂志》1999,19(2):223-236
本文通过对无约束优化ODE算法的信赖域分析,提出了约束优化问题的曲线搜索信赖域算法,给出了算法步骤,并讨论了该算法的全局收敛性。  相似文献   

10.
求解变量带简单界约束的非线性规划问题的信赖域方法   总被引:3,自引:0,他引:3  
陈中文  韩继业 《计算数学》1997,19(3):257-266
1.引言。本文考虑下述变量带简单界约束的非线性规划问题:问题(1.1)不仅是实际应用中出现的简单的约束最优化问题,而且相当一部分最优化问题可以把变量限制在有意义的区间内181.因此,无论在理论方面还是在实际应用方面,都有必要研究此种问题.给出简便而且有效的算法.有些文章提出了一些特殊的方法.如011和[2].14]及16]提出了一类信赖域方法,它们都借助于某种辅助点,证明了算法的全局收敛性.在收敛速度的分析方面,除要求在*-T点满足严格互补松弛外,它们还要求另一个条件,即在每次迭代中,辅助点的有效约束必须在尝…  相似文献   

11.
We study a new trust region affine scaling method for general bound constrained optimization problems. At each iteration, we compute two trial steps. We compute one along some direction obtained by solving an appropriate quadratic model in an ellipsoidal region. This region is defined by an affine scaling technique. It depends on both the distances of current iterate to boundaries and the trust region radius. For convergence and avoiding iterations trapped around nonstationary points, an auxiliary step is defined along some newly defined approximate projected gradient. By choosing the one which achieves more reduction of the quadratic model from the two above steps as the trial step to generate next iterate, we prove that the iterates generated by the new algorithm are not bounded away from stationary points. And also assuming that the second-order sufficient condition holds at some nondegenerate stationary point, we prove the Q-linear convergence of the objective function values. Preliminary numerical experience for problems with bound constraints from the CUTEr collection is also reported.  相似文献   

12.
Chen and Zhang [Sci.China,Ser.A,45,1390–1397(2002)] introduced an affine scaling trust region algorithm for linearly constrained optimization and analyzed its global convergence.In this paper,we derive a new affine scaling trust region algorithm with dwindling filter for linearly constrained optimization.Different from Chen and Zhang's work,the trial points generated by the new algorithm are accepted if they improve the objective function or improve the first order necessary optimality conditions.Under mild conditions,we discuss both the global and local convergence of the new algorithm.Preliminary numerical results are reported.  相似文献   

13.
14.
Trust region methods are powerful and effective optimization methods.The conic model method is a new type of method with more information available at each iteration than standard quadratic-based methods.The advantages of the above two methods can be combined to form a more powerful method for constrained optimization.The trust region subproblem of our method is to minimize a conic function subject to the linearized constraints and trust region bound.At the same time,the new algorithm still possesses robust global properties.The global convergence of the new algorithm under standard conditions is established.  相似文献   

15.
On a subproblem of trust region algorithms for constrained optimization   总被引:8,自引:0,他引:8  
We study a subproblem that arises in some trust region algorithms for equality constrained optimization. It is the minimization of a general quadratic function with two special quadratic constraints. Properties of such subproblems are given. It is proved that the Hessian of the Lagrangian has at most one negative eigenvalue, and an example is presented to show that the Hessian may have a negative eigenvalue when one constraint is inactive at the solution.Research supported by a Research Fellowship of Fitzwilliam College, Cambridge, and by a research grant from the Chinese Academy of Sciences.  相似文献   

16.
§ 1 IntroductionConsiderthefollowingnonlinearoptimizationproblem :minimizef(x)subjecttoC(x) =0 , a≤x≤b ,( 1 .1 )wheref(x) :Rn→R ,C(x) =(c1(x) ,c2 (x) ,...,cm(x) ) T:Rn→Rm aretwicecontinuouslydifferentiable,m≤n ,a ,b∈Rn.Trustregionalgorithmsareveryeffectiveforsolvingnonlinearoptimi…  相似文献   

17.
A trust region algorithm for equality constrained optimization   总被引:2,自引:0,他引:2  
A trust region algorithm for equality constrained optimization is proposed that employs a differentiable exact penalty function. Under certain conditions global convergence and local superlinear convergence results are proved.  相似文献   

18.
In Ref. 1, Nocedal and Overton proposed a two-sided projected Hessian updating technique for equality constrained optimization problems. Although local two-step Q-superlinear rate was proved, its global convergence is not assured. In this paper, we suggest a trust-region-type, two-sided, projected quasi-Newton method, which preserves the local two-step superlinear convergence of the original algorithm and also ensures global convergence. The subproblem that we propose is as simple as the one often used when solving unconstrained optimization problems by trust-region strategies and therefore is easy to implement.This research was supported in part by the National Natural Science Foundation of China.  相似文献   

19.
In this paper, by means of an active set strategy, we present a projected spectral gradient algorithm for solving large-scale bound constrained optimization problems. A nice property of the active set estimation technique is that it can identify the active set at the optimal point without requiring strict complementary condition, which is potentially used to solve degenerated optimization problems. Under appropriate conditions, we show that this proposed method is globally convergent. We also do some numerical experiments by using some bound constrained problems from CUTEr library. The numerical comparisons with SPG, TRON, and L-BFGS-B show that the proposed method is effective and promising.  相似文献   

20.
An active set limited memory BFGS algorithm for large-scale bound constrained optimization is proposed. The active sets are estimated by an identification technique. The search direction is determined by a lower dimensional system of linear equations in free subspace. The implementations of the method on CUTE test problems are described, which show the efficiency of the proposed algorithm. The work was supported by the 973 project granted 2004CB719402 and the NSF project of China granted 10471036.  相似文献   

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