A model-hybrid approach for unconstrained optimization problems

FS Wang, JB Jian, CL Wang - Numerical Algorithms, 2014 - Springer
FS Wang, JB Jian, CL Wang
Numerical Algorithms, 2014Springer
In this paper, we propose a model-hybrid approach for nonlinear optimization that employs
both trust region method and quasi-Newton method, which can avoid possibly resolve the
trust region subproblem if the trial step is not acceptable. In particular, unlike the traditional
trust region methods, the new approach does not use a single approximate model from
beginning to the end, but instead employs quadratic model or conic model at every iteration
adaptively. We show that the new algorithm preserves the strong convergence properties of …
Abstract
In this paper, we propose a model-hybrid approach for nonlinear optimization that employs both trust region method and quasi-Newton method, which can avoid possibly resolve the trust region subproblem if the trial step is not acceptable. In particular, unlike the traditional trust region methods, the new approach does not use a single approximate model from beginning to the end, but instead employs quadratic model or conic model at every iteration adaptively. We show that the new algorithm preserves the strong convergence properties of trust region methods. Numerical results are also presented.
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