Convergence analysis of adaptive trust region methods

Convergence analysis of adaptive trust region methods

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Article ID: iaor20073401
Country: France
Volume: 41
Issue: 1
Start Page Number: 105
End Page Number: 121
Publication Date: Jan 2007
Journal: RAIRO Operations Research
Authors: , ,
Keywords: trust regions
Abstract:

In this paper, we propose a new class of adaptive trust region methods for unconstrained optimization problems and develop some convergence properties. In the new algorithms, we use the current iterative information to define a suitable initial trust region radius at each iteration. The initial trust region radius is more reasonable in the sense that the trust region model and the objective function are more consistent at the current iterate. The global convergence, super-linear and quadratic convergence rate are analyzed under some mild conditions. Numerical results show that some special adaptive trust region methods are available and efficient in practical computation.

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