A filter-trust-region method for unconstrained optimization

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    Résumé

    A new filter-trust-region algorithm for solving unconstrained nonlinear optimization problems is introduced. Based on the filter technique introduced by Fletcher and Leyffer, it extends an existing technique of Gould, Leyffer, and Toint [SIAM J. Optim., 15 (2004), pp. 17-38] for nonlinear equations and nonlinear least-squares to the fully general unconstrained optimization problem. The new algorithm is shown to be globally convergent to at least one second-order critical point, and numerical experiments indicate that it is very competitive with more classical trust-region algorithms. © 2005 Society for Industrial and Applied Mathematics.
    langue originaleAnglais
    Pages (de - à)341-357
    Nombre de pages17
    journalSIAM Journal on Optimization
    Volume16
    Numéro de publication2
    Les DOIs
    Etat de la publicationPublié - 1 janv. 2006

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