On convergence analysis of a derivative-free trust region algorithm for constrained optimization with separable structure (Q477071): Difference between revisions

The authors propose a derivative-free trust region algorithm for constrained minimization problems of the form \[ \min f_1(x)+f_2(y)\text{ s.t. }c(x,y)=0, \] where derivatives of the objective function are not available and cannot be directly approximated. At each iteration, the authors construct a quadratic interpolation model of the objective function around the current iterate. The new iterates are generated by minimizing the augmented Lagrangian function of this model over the trust region. Global convergence of the proposed algorithm is proved under some suitable assumptions.