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In this paper we propose a filter-trust-region algorithm for solving nonlinear optimization problems with simple bounds. It extends the technique of Gould et al. [Gould, N.I.M. Sainvitu, C. and Toint, Ph.L., 2005, A filter-trust-region method for unconstrained optimization. SIAM Journal on Optimization, 16(2), 341-357.] designed for unconstrained optimization problems. The two main ingredients of the method are a filter-trust-region algorithm and a gradient-projection method. The algorithm is shown to be globally convergent to at least one first-order critical point. Numerical experiments on a large set of problems are also reported.
|Number of pages||14|
|Journal||Optimization Methods and Software|
|Publication status||Published - 1 Oct 2007|
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ADALGOPT: ADALGOPT - Advanced algorithms in nonlinear optimization
1/01/87 → …
Project: Research Axis
Filter methods for nonlinear problems
2/02/02 → 31/08/11
Filter-trust-region methods for nonlinear optimizationAuthor: Sainvitu, C., 17 Apr 2007
Supervisor: Toint, P. (Supervisor), Gould, N. I. M. (External person) (Jury), VICENTE, L. (External person) (Jury), Sartenaer, A. (Jury) & Strodiot, J. (Jury)
Student thesis: Doc types › Doctor of SciencesFile