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§ 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
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Nicholas I. M. Gould Dominique Orban Annick Sartenaer Phillipe L. Toint 《4OR: A Quarterly Journal of Operations Research》2005,3(3):227-241
In this paper, we examine the sensitivity of trust-region algorithms on the parameters related to the step acceptance and
update of the trust region. We show, in the context of unconstrained programming, that the numerical efficiency of these algorithms
can easily be improved by choosing appropriate parameters. Recommended ranges of values for these parameters are exhibited
on the basis of extensive numerical tests.
MSC classification:
65K05, 90C26, 90C30 相似文献
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A new trust-region and affine scaling algorithm for linearly constrained optimization is presented in this paper. Under no
nondegenerate assumption, we prove that any limit point of the sequence generated by the new algorithm satisfies the first
order necessary condition and there exists at least one limit point of the sequence which satisfies the second order necessary
condition. Some preliminary numerical experiments are reported.
The work was done while visiting Institute of Applied Mathematics, AMSS, CAS. 相似文献
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本文提供了在没有非奇异假设的条件下,求解有界约束半光滑方程组的投影信赖域算法.基于一个正则化子问题,求得类牛顿步,进而求得投影牛顿步.在合理的假设条件下,证明了算法不仅具有整体收敛性而且保持超线性收敛速率. 相似文献
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On the Global Convergence of a Projective Trust Region Algorithm for Nonlinear Equality Constrained Optimization
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A trust-region sequential quadratic programming (SQP) method is developed and analyzed for the solution of smooth equality constrained optimization problems. The trust-region SQP algorithm is based on filter line search technique and a composite-step approach, which decomposes the overall step as sum of a vertical step and a horizontal step. The algorithm includes critical modifications of horizontal step computation. One orthogonal projective matrix of the Jacobian of constraint functions is employed in trust-region subproblems. The orthogonal projection gives the null space of the transposition of the Jacobian of the constraint function. Theoretical analysis shows that the new algorithm retains the global convergence to the first-order critical points under rather general conditions. The preliminary numerical results are reported. 相似文献
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In this paper, by means of an active-set strategy, we present a trust-region method for solving box-constrained nonsmooth equations. Nice properties of the proposed method include: (a) all iterates remain feasible; (b) the search direction, as adequate combination of the projected gradient direction and the trust-region direction, is an asymptotic Newton direction under mild conditions; (c) the subproblem of the proposed method, possessing the form of an unconstrained trust-region subproblem, can be solved by existing methods; (d) the subproblem of the proposed method is of reduced dimension, which is potentially cheaper when applied to solve large-scale problems. Under appropriate conditions, we establish global and local superlinear/quadratic convergence of the method. Preliminary numerical results are given. 相似文献
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M. M. El-Alem 《Journal of Optimization Theory and Applications》1995,87(3):563-577
A trust-region algorithm for solving the equality constrained optimization problem is presented. This algorithm uses the Byrd and Omojokun way of computing the trial steps, but it differs from the Byrd and Omojokun algorithm in the way steps are evaluated. A global convergence theory for this new algorithm is presented. The main feature of this theory is that the linear independence assumption on the gradients of the constraints is not assumed.This research was supported in part by the Center for Research on Parallel Computation, by Grant NSF-CCR-91-20008, and by the REDI Foundation. 相似文献
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Scenario analysis, originally proposed by Rockafellar and Wets, is a widely applicable method for introducing uncertainty into practical decision problems. As it often leads to very large optimization problems, one needs special techniques for the resulting numerical computation. One such technique, the Progressive Hedging Algorithm, is simple and universally applicable, but it can be slow. In this paper we show how the bundle decomposition method can be applied to linear or convex scenario analysis problems that are loosely coupled. We illustrate its effectiveness by presenting computational results for military force planning problems and for multi-scenario network models of production planning.The research reported here was sponsored by the National Science Foundation under Grant CCR-9109345, by the Air Force Systems Command, USAF, under Grants AFOSR-91-0089 and F49620-93-1-0068, by the US Army Research Office under Contract DAAL03-89-K-0149 and Grant No. DAAL03-92-G-0408, and by the US Army Space and Strategic Defense Command under Contract No. DASG60-91-C-0144. The US Government has certain rights in this material, and is authorized to reproduce and distribute reprints for Governmental purposes notwithstanding any copyright notation thereon. 相似文献