Superlinearly convergent trust-region method without the assumption of positive-definite Hessian

DOI10.1007/S10957-006-9053-4MaRDI QIDQ2370038zbMATH OpenOpenAlexFDO

Authors Ju-liang Zhang, Yong Wang, Xiangsun Zhang

Publication date 21 June 2007

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-006-9053-4

zbMATH Keywords

global convergencelocal error boundsuperlinear convergencetrust-region methodstrust-region radius

Mathematics Subject Classification ID

Methods of quasi-Newton type (90C53) Methods of successive quadratic programming type (90C55)

Review text

The authors study a modified version of the trust-region method for solving unconstrained minimization problems. The modification concerns the up-date rule for the trust-region radius. The radius depends on the gradient and tends to zero. Also for this method global convergence is shown under common assumptions. Moreover, superlinear convergence is proven under (slightly) weaker conditions than in earlier papers. The assumption of the positive definiteness of the Hessian is replaced by a (slightly weaker, but more abstract) condition based on an error bound for the distance of the actual iterate from the solution set. Numerical experiments are presented.

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Cites work

• A Family of Trust-Region-Based Algorithms for Unconstrained Minimization with Strong Global Convergence Properties
• Algorithm 676: ODRPACK: software for weighted orthogonal distance regression
• An Iterative Method for Finding Stationary Values of a Function of Several Variables
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• Error bounds for lower semicontinuous functions in normed spaces
• Error bounds in mathematical programming
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• Newton's Method for Large Bound-Constrained Optimization Problems
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Cited in

(5)

• Superlinear convergence of a trust region type successive linear programming method
• A trust region method for optimization problem with singular solutions
• A nonmonotone adaptive trust region method for unconstrained optimization based on conic model
• Gradient descent in the absence of global Lipschitz continuity of the gradients
• A superlinearly convergent ODE-type trust region algorithm for nonsmooth nonlinear equations

Describes a project that uses

Uses Software

• TRON
• LANCELOT
• ODRPACK
• minpack

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