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A nonmonotone filter trust region method for nonlinear constrained optimization. (English) Zbl 1180.65081
The following minimization problem is considered: $$\text{Minimize }f(x)\text{ subject to }c_i(x)=0\text{ for }i\in\{1,\dots,m\},$$ where $x\in \bbfR^n$, $f:\bbfR^n\to R$, and $c_i(x)$, $i\in\{1,\dots,m\}$ are twice continuously differentiable functions. The non-monotone filter technique and the fraction of Cauchy decrease are introduced. Using these concepts, the authors propose a non-monotone filter trust region algorithm for solving the minimization problem. Convergence properties and some numerical results in the concluding part of the paper show the efficiency of the proposed algorithm.

65K05Mathematical programming (numerical methods)
Full Text: DOI
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