Nonmonotone adaptive trust region method

Nonmonotone adaptive trust region method

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Article ID: iaor20108538
Volume: 208
Issue: 1
Start Page Number: 28
End Page Number: 36
Publication Date: Jan 2011
Journal: European Journal of Operational Research
Authors: ,
Keywords: trust regions
Abstract:

In this paper, we propose a nonmonotone adaptive trust region method for unconstrained optimization problems. This method can produce an adaptive trust region radius automatically at each iteration and allow the functional value of iterates to increase within finite iterations and finally decrease after such finite iterations. This nonmonotone approach and adaptive trust region radius can reduce the number of solving trust region subproblems when reaching the same precision. The global convergence and convergence rate of this method are analyzed under some mild conditions. Numerical results show that the proposed method is effective in practical computation.

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