| A SELF—ADAPTIVE TRUST REGION ALGORITHM |
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| 作者姓名： | LongHei |
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| 作者单位： | InstituteofComputationalMathematicsandScientific/EngineeringComputing,AcademyofMathematicsandSystemsSciences,ChineseAcademyofSciences,Beijing100080,China |
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| 基金项目： | Supported partially by Chinese NSF grant. |
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| 摘 要： | In this paper we propose a self-adaptive trust region algorithm.The trust region radius is updated at a varable rate according to the ratio between the actual reduction and the predicted reduction of the objective function,rather than by simply enlarging or reducing the original trust region radius at a constant rate.We show that this new algorithm preserves the strong convergence property of traditional trust region methods.Numerical results are also presented.
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| 关 键 词： | 自适应置信域算法 非线性最优化 无约束最优化 R－函数 试步长 全局收敛性 |
A SELF-ADAPTIVE TRUST REGION ALGORITHM |
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| LongHei.A SELF-ADAPTIVE TRUST REGION ALGORITHM[J].Journal of Computational Mathematics,2003,21(2):229-236. |
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| Authors: | Long Hei |
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| Abstract: | In this paper we propose a self-adaptive trust region algorithm. The trust region radius is updated at a variable rate according to the ratio between the actual reduction and the predicted reduction of the objective function, rather than by simply enlarging or reducing the original trust region radius at a constant rate. We show that this new algorithm preserves the strong convergence property of traditional trust region methods. Numerical results are also presented. |
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| Keywords: | Trust region Unconstrained optimization Nonlinear optimization |
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