A method for the solution of minimization problems with simple bounds is presented. Global convergence of a general scheme requiring the approximate solution of a single linear system at each iteration is proved and a superlinear convergence rate is established without requiring the strict complementarity assumption. The algorithm proposed is based on a simple, smooth unconstrained reformulation of the bound constrained problem and may produce a sequence of points that are not feasible. Numerical results and comparison with existing codes are reported.
A Truncated Newton Algorithm for Large Scale Box Constrained Optimization
Palagi L
2002
Abstract
A method for the solution of minimization problems with simple bounds is presented. Global convergence of a general scheme requiring the approximate solution of a single linear system at each iteration is proved and a superlinear convergence rate is established without requiring the strict complementarity assumption. The algorithm proposed is based on a simple, smooth unconstrained reformulation of the bound constrained problem and may produce a sequence of points that are not feasible. Numerical results and comparison with existing codes are reported.File in questo prodotto:
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