An interior-point penalty active-set trust-region algorithm

In this work, an active set strategy is used together with a Coleman–Li strategy and penalty method to transform a general nonlinear programming problem with bound on the variables to unconstrained optimization problem with bound on the variables. A trust-region globalization strategy is used to com...

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Bibliographic Details
Published in:Journal of the Egyptian Mathematical Society 2016-10, Vol.24 (4), p.672-680
Main Author: El-Sobky, Bothina
Format: Article
Language:English
Subjects:
Active set
Coleman–Li strategy
Global convergence
Interior-point
Penalty method
Trust region
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Summary:In this work, an active set strategy is used together with a Coleman–Li strategy and penalty method to transform a general nonlinear programming problem with bound on the variables to unconstrained optimization problem with bound on the variables. A trust-region globalization strategy is used to compute a step. A global convergence theory for the proposed algorithm is presented under credible assumptions. Prefatory numerical experiment on the algorithm is presented. The rendering of the algorithm is reported on some classical problem.
ISSN:1110-256X
2090-9128
DOI:10.1016/j.joems.2016.04.003