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Zbl 1180.65081
Su, Ke; Pu, Dingguo
A nonmonotone filter trust region method for nonlinear constrained optimization. (English)
[J] J. Comput. Appl. Math. 223, No. 1, 230-239 (2009). ISSN 0377-0427

The following minimization problem is considered: $$\text{Minimize }f(x)\text{ subject to }c_i(x)=0\text{ for }i\in\{1,\dots,m\},$$ where $x\in \bbfR^n$, $f:\bbfR^n\to R$, and $c_i(x)$, $i\in\{1,\dots,m\}$ are twice continuously differentiable functions. The non-monotone filter technique and the fraction of Cauchy decrease are introduced. Using these concepts, the authors propose a non-monotone filter trust region algorithm for solving the minimization problem. Convergence properties and some numerical results in the concluding part of the paper show the efficiency of the proposed algorithm.
[Karel Zimmermann (Praha)]

MSC 2000:: *65K05 Mathematical programming (numerical methods)

Keywords: nonmonotone; filter; trust region; equality constraints; global convergence

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