Non-monotone trust-region algorithms for nonlinear optimization subject to convex constraints

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    Abstract

    This paper presents two new trust-region methods for solving nonlinear optimization problems over convex feasible domains. These methods are distinguished by the fact that they do not enforce strict monotonicity of the objective function values at successive iterates. The algorithms are proved to be convergent to critical points of the problem from any starting point. Extensive numerical experiments show that this approach is competitive with the LANCELOT package.
    Original languageEnglish
    Pages (from-to)69-94
    Number of pages26
    JournalMathematical Programming
    Volume77
    Issue number1
    Publication statusPublished - 1 Apr 1997

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