投影信赖域最优路径内点算法解有界变量的约束优化问题

Projected trust region ulterior point algorithm via optimal path for contrainted optimation problem subject to bounds on variables

基于最优路径(optimalpath),提供一种投影信赖域内点算法解有界变量的线性等式约束优化.在合理的条件下,证明了所提供的算法不仅具有整体收敛性并且保持局部超线性收敛速率.数值计算结果表明了算法的有效性.

In this paper we propose a projected trust region interior point algorithm via optimal path for optimation problem with linear equality contraint subject to bounds on variables. The proposed algorithm is globally convergent and have locally fast convergent rate under some reasonable conditions. The results of numerical experiments are reported to show the effectiveness of the proposed algorithm.