An ODE-based trust region method for unconstrained optimization problems |
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Authors: | Yigui Ou [Author Vitae] Qian Zhou Haichan Lin |
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Institution: | Department of Mathematics, Hainan University, Haikou 570228, China |
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Abstract: | 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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Keywords: | 90C30 65K05 |
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