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A new nonmonotone adaptive trust region algorithm

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Abstract

We propose a new and efficient nonmonotone adaptive trust region algorithm to solve unconstrained optimization problems. This algorithm incorporates two novelties: it benefits from a radius dependent shrinkage parameter for adjusting the trust region radius that avoids undesirable directions and exploits a new strategy to prevent sudden increments of objective function values in nonmonotone trust region techniques. Global convergence of this algorithm is investigated under some mild conditions. Numerical experiments demonstrate the efficiency and robustness of the proposed algorithm in solving a collection of unconstrained optimization problems from the CUTEst package.

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Authors and Affiliations

  1. Department of Mathematics, University of Science and Technology of Mazandaran, P.O. Box 48518-78195, Behshahr, Iran

    Ahmad Kamandi

  2. Department of Mathematics, Faculty of Science, Razi University, P.O. Box 67141-15111, Kermanshah, Iran

    Keyvan Amini

Authors
  1. Ahmad Kamandi
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  2. Keyvan Amini
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Correspondence to Ahmad Kamandi.

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Kamandi, A., Amini, K. A new nonmonotone adaptive trust region algorithm. Appl Math 67, 233–250 (2022). https://doi.org/10.21136/AM.2021.0122-20

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  • DOI: https://doi.org/10.21136/AM.2021.0122-20

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