Non-monotone Trust Region Technique for Equality Constrained Optimization

Xiao WU, Qinghua ZHOU*

College of Mathematics and Information Science, Hebei University, Baoding, CHINA

Abstract: In this article, we propose and analyze a new trust region algorithm for solving equality constrained optimization problems. We incorporate a non-monotone strategy into trust region algorithm to construct a more relaxed trust region procedure and employ a differentiable exact penalty function. Under some reasonable conditions, the global convergence is established.

Keywords: Nonmonotone; Trust region methods; Constrained optimization; Exact penalty function; Global convergence