Projected quasi-Newton algorithm with trust region for constrained optimization (Q911465): Difference between revisions

Recently, \textit{J. Nocedal} and \textit{M. L. Overton} [SIAM J. Numer. Anal. 22, 821-850 (1985; Zbl 0593.65043)] proposed a two-sided projected Hessian updating technique for equality constrained optimization problems. Although local two-step Q-superlinear rate was proved, its global convergence is not assured. In this paper, we suggest a trust- region-type, two-sided projected quasi-Newton method, which preserves the local two-step superlinear convergence of the original algorithm and also ensures global convergence. The subproblem that we propose is as simple as the one often used when solving unconstrained optimization problems by trust-region strategies and therefore is easy to implement.