A filter-trust-region method for simple-bound constrained optimization

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Abstract

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.
Original languageEnglish
Pages (from-to)835-848
Number of pages14
JournalOptimization Methods and Software
Volume22
Issue number5
DOIs
Publication statusPublished - 1 Oct 2007

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    Filter-trust-region methods for nonlinear optimization

    Author: 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 typesDoctor of Sciences

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