A robust trust region method for nonlinear optimization with inequality constraint (Q2496002)

The author presents a new trust region algorithm for nonlinear optimization with inequality constraints. This algorithm solves two linear programming subproblems and a serie of quadratic subproblems at each successful iteration to obtain an acceptable trial step. The algorithm can circumvent the difficulties associated with the possible inconsistency of the trust region subproblems. Moreover, the algorithm can converge to a point which satisfies a certain first-order necessary condition even when the original problems itself is infeasible. Some global convergence properties are proved without regularity assumption, and local superlinear convergence of the algorithm is obtained under standard conditions. Preliminary numerical results are reported on some classic problems.