Outer Trust-Region Method for Constrained Optimization

Given an algorithm A for solving some mathematical problem based on the iterative solution of simpler subproblems, an Outer Trust-Region (OTR) modification of A is the result of adding a trust-region constraint to each subproblem. The trust-region size is adaptively updated according to the behavior of crucial variables. The new subproblems should not be more complex than the original ones and the convergence properties of the OTR algorithm should be the same as those of Algorithm A. In the present work, the OTR approach is exploited in connection with the “greediness phenomenon” of Nonlinear Programming. Convergence results for an OTR version of an Augmented Lagrangian method for nonconvex constrained optimization are proved and numerical experiments are presented. Key words: Nonlinear programming, Augmented Lagrangian method, trust regions. AMS Subject Classification: 90C30, 49K99, 65K05.

• Type: Journal
• Year: 2011
• Where: JOTA
• Authors: Ernesto G. Birgin, Emerson V. Castelani, André L. M. Martinez, José Mario Martínez
• Keywords: Constrained Optimization, JOTA 2011, Lagrangian Method, Trust Regions