Nonmonotonic back-tracking trust region interior point algorithm for linear constrained optimization

摘要

In this paper, we modify the trust region interior point algorithm proposed by Bonnans and Pola in (SIAM J. Optim. 7(3) (1997) 717) for linear constrained optimization. A mixed strategy using both trust region and line-search techniques is adopted which switches to back-tracking steps when a trial step produced by the trust region subproblem may be unacceptable. The global convergence and local convergence rate of the improved algorithm are established under some reasonable conditions. A nonmonotonic criterion is used to speed up the convergence progress in some ill-conditioned cases. The results of numerical experiments are reported to show the effectiveness of the proposed algorithm.