A new nonmonotone adaptive trust region algorithm

Ahmad Kamandi; Keyvan Amini

Applications of Mathematics (2022)

  • Volume: 67, Issue: 2, page 233-250
  • ISSN: 0862-7940

Abstract

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We propose a new and efficient nonmonotone adaptive trust region algorithm to solve unconstrained optimization problems. This algorithm incorporates two novelties: it benefits from a radius dependent shrinkage parameter for adjusting the trust region radius that avoids undesirable directions and exploits a new strategy to prevent sudden increments of objective function values in nonmonotone trust region techniques. Global convergence of this algorithm is investigated under some mild conditions. Numerical experiments demonstrate the efficiency and robustness of the proposed algorithm in solving a collection of unconstrained optimization problems from the CUTEst package.

How to cite

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Kamandi, Ahmad, and Amini, Keyvan. "A new nonmonotone adaptive trust region algorithm." Applications of Mathematics 67.2 (2022): 233-250. <http://eudml.org/doc/297598>.

@article{Kamandi2022,
abstract = {We propose a new and efficient nonmonotone adaptive trust region algorithm to solve unconstrained optimization problems. This algorithm incorporates two novelties: it benefits from a radius dependent shrinkage parameter for adjusting the trust region radius that avoids undesirable directions and exploits a new strategy to prevent sudden increments of objective function values in nonmonotone trust region techniques. Global convergence of this algorithm is investigated under some mild conditions. Numerical experiments demonstrate the efficiency and robustness of the proposed algorithm in solving a collection of unconstrained optimization problems from the CUTEst package.},
author = {Kamandi, Ahmad, Amini, Keyvan},
journal = {Applications of Mathematics},
keywords = {unconstrained optimization; nonmonotone trust region; adaptive radius; global convergence; CUTEst package},
language = {eng},
number = {2},
pages = {233-250},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {A new nonmonotone adaptive trust region algorithm},
url = {http://eudml.org/doc/297598},
volume = {67},
year = {2022},
}

TY - JOUR
AU - Kamandi, Ahmad
AU - Amini, Keyvan
TI - A new nonmonotone adaptive trust region algorithm
JO - Applications of Mathematics
PY - 2022
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 67
IS - 2
SP - 233
EP - 250
AB - We propose a new and efficient nonmonotone adaptive trust region algorithm to solve unconstrained optimization problems. This algorithm incorporates two novelties: it benefits from a radius dependent shrinkage parameter for adjusting the trust region radius that avoids undesirable directions and exploits a new strategy to prevent sudden increments of objective function values in nonmonotone trust region techniques. Global convergence of this algorithm is investigated under some mild conditions. Numerical experiments demonstrate the efficiency and robustness of the proposed algorithm in solving a collection of unconstrained optimization problems from the CUTEst package.
LA - eng
KW - unconstrained optimization; nonmonotone trust region; adaptive radius; global convergence; CUTEst package
UR - http://eudml.org/doc/297598
ER -

References

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