The recent development of non-monotone trust region methods

Abstract: Trust region methods are a class of numerical methods for optimization. They compute a trial step by solving a trust region sub-problem where a model function is minimized within a trust region. In this paper, we review recent results on non-monotone trust region methods for unconstrained optimization problems. Generally, non-monotone trust region algorithms with non-monotone technique are more effective than the traditional ones, especially when coping with some extreme nonlinear optimization problems. Results on trust region sub-problems and regularization methods are also discussed

An Adaptive Nonmonotone Trust Region Method Based on a Structured Quasi Newton Equation for the Nonlinear Least Squares Problem

In this work an iterative method to solve the nonlinear least squares problem is presented. The algorithm combines a secant method with a strategy of nonmonotone trust region. In order to dene the quadratic model, the Hessian matrix is chosen using a secant approach that takes advantage of the structure of the problem, and the radius of the trust region is updated following an adaptive technique. Moreover, convergence properties of this algorithm are proved. The numerical experimentation, in which several ways of choosing the Hessian matrix are compared, shows the effiency and robustness of the method.Sociedad Argentina de Informática e Investigación Operativ

An Improved Adaptive Trust-Region Method for Unconstrained Optimization

In this study, we propose a trust-region-based procedure to solve unconstrained optimization problems that take advantage of the nonmonotone technique to introduce an efficient adaptive radius strategy. In our approach, the adaptive technique leads to decreasing the total number of iterations, while utilizing the structure of nonmonotone formula helps us to handle large-scale problems. The new algorithm preserves the global convergence and has quadratic convergence under suitable conditions. Preliminary numerical experiments on standard test problems indicate the efficiency and robustness of the proposed approach for solving unconstrained optimization problems

Convergence of derivative-free nonmonotone Direct Search Methods for unconstrained and box-constrained mixed-integer optimization

This paper presents a class of nonmonotone Direct Search Methods that converge to stationary points of unconstrained and boxed constrained mixed-integer optimization problems. A new concept is introduced: the quasi-descent direction. A point x is stationary on a set of search directions if there exists no feasible qdd on that set. The method does not require the computation of derivatives nor the explicit manipulation of asymptotically dense matrices. Preliminary numerical experiments carried out on small to medium problems are encouraging.Universidade de Vigo/CISU