An ODE-Based Trust Region Filter Algorithm for Unconstrained Optimization |
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Authors: | Yigui Ou |
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Institution: | 1. Department of Mathematics , Hainan University , Hainan , P. R. China ouyigui@tom.com |
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Abstract: | In this article, an ODE-based trust region filter algorithm for unconstrained optimization is proposed. It can be regarded as a combination of trust region and filter techniques with ODE-based methods. Unlike the existing trust-region-filter methods and ODE-based methods, a distinct feature of this method is that at each iteration, a reduced linear system is solved to obtain a trial step, thus avoiding solving a trust region subproblem. Under some standard assumptions, it is proven that the algorithm is globally convergent. Preliminary numerical results show that the new algorithm is efficient for large scale problems. |
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Keywords: | Filter technique ODE methods Trust region methods Unconstrained optimization |
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