An affine scaling interior point backtracking algorithm for nonlinear constrained optimisation

• Published in: The ANZIAM journal Vol. 46; no. 1; pp. 45 - 66
• Main Author: Zhu, Detong
• Format: Journal Article
• Language: English
• Published: Cambridge, UK Cambridge University Press 01.07.2004
• Subjects: Algorithms; Constraints; Convergence; Optimization; Penalty function; Quadratic equations; Subspaces
• ISSN: 1446-1811; 1446-8735
• DOI: 10.1017/S1446181100013663

In this paper we propose a new affine scaling interior trust region algorithm with a nonmonotonic backtracking technique for nonlinear equality constrained optimisation with nonnegative constraints on the variables. In order to deal with large problems, the general full trust region subproblem is decomposed into a pair of trust region subproblems in horizontal and vertical subspaces. The horizontal trust region subproblem in the algorithm is defined by minimising a quadratic function subject only to an ellipsoidal constraint in a null tangential subspace and the vertical trust region subproblem is defined by the least squares subproblem subject only to an ellipsoidal constraint. By adopting Fletcher's penalty function as the merit function, combining a trust region strategy and a nonmonotone line search, the mixing technique will switch to a backtracking step generated by the two trust region subproblems to obtain an acceptable step. The global convergence of the proposed algorithm is proved while maintaining a fast local superlinear convergence rate, which is established under some reasonable conditions. A nonmonotonic criterion is used to speed up the convergence progress in some highly nonlinear cases.