On the convergence of a new trust region algorithm |
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Authors: | Ya-xiang Yuan |
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Institution: | (1) Computing Center, Academia Sinica, P.O. Box 2719, Beijing 10080, China , CN |
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Abstract: | Summary.
In this paper we
present a new trust region algorithm for general nonlinear constrained
optimization problems. The algorithm is based on the
exact penalty
function. Under very mild conditions, global convergence results
for the algorithm are given.
Local convergence properties are also studied.
It is shown that
the penalty parameter generated by the algorithm will be eventually
not less than the norm of the Lagrange multipliers at
the accumulation point. It is proved that the method is
equivalent to the sequential quadratic programming method for all
large , hence superlinearly convergent results of the
SQP method can be applied.
Numerical results are also reported.
Received March 21, 1993 |
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Keywords: | Mathematics Subject Classification (1991):65K05 49D37 |
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