A nonmonotone trust region method with new inexact line search for unconstrained optimization

Authors:
Jinghui Liu;Changfeng Ma
Affiliations:
School of Mathematics and Computer Science, Fujian Normal University, Fuzhou, People's Republic of China 350007;School of Mathematics and Computer Science, Fujian Normal University, Fuzhou, People's Republic of China 350007
Venue:
Numerical Algorithms
Year:
2013

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Abstract

In this paper, a new nonmonotone inexact line search rule is proposed and applied to the trust region method for unconstrained optimization problems. In our line search rule, the current nonmonotone term is a convex combination of the previous nonmonotone term and the current objective function value, instead of the current objective function value . We can obtain a larger stepsize in each line search procedure and possess nonmonotonicity when incorporating the nonmonotone term into the trust region method. Unlike the traditional trust region method, the algorithm avoids resolving the subproblem if a trial step is not accepted. Under suitable conditions, global convergence is established. Numerical results show that the new method is effective for solving unconstrained optimization problems.