An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds

  • Authors:
  • Thomas F. Coleman;Yuying Li

  • Affiliations:
  • -;-

  • Venue:
  • An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds
  • Year:
  • 1993

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Abstract

We propose a new trust region approach for minimizing nonlinear functions subject to simple bounds. By choosing an appropriate quadratic model and scaling matrix at each iteration, we show that it is not necessary to solve a quadratic programming subproblem, with linear inequalities, to obtain an improved step using the trust region idea. Instead, a solution to a trust region subproblem is defined by minimizing a quadratic function subject only to an ellipsoidal constraint. The iterates generated by these methods are always strictly feasible. Our proposed methods reduce to a standard trust region approach for the unconstrained problem when there are no upper or lower bounds on the variables. Global and quadratic convergence of the methods is established; preliminary numerical experiments are reported.