A GLOBALLY CONVERGENT MODIFIED MULTIVARIATE VERSION OF THE METHOD OF MOVING ASYMPTOTES

Applicable Analysis and Discrete Mathematics

article

Allal Guessab¹  Abderrazak Driouch¹ 

[1] Universit´e de Pau et des Pays de l’Adour

关键词: Method of moving asymptotes;    Global convergence;    non linear optimization;    Non-convex;   

DOI  :  10.2298/AADM190325033G

学科分类：社会科学、人文和艺术（综合）

来源: Univerzitet u Beogradu * Elektrotehnicki Fakultet / University of Belgrade, Faculty of Electrical Engineering

【 摘 要 】

In this paper, we introduce an extension of our previous paper, A globallyconvergent version to the Method of Moving Asymptotes, in a multivariatesetting. The proposed multivariate version is a globally convergent result fora new method, which consists iteratively of the solution of a modified versionof the method of moving asymptotes. It is shown that the algorithm generated has some desirable properties. We state the conditions under whichthe present method is guaranteed to converge geometrically. The resulting algorithms are tested numerically and compared with several well-knownmethods.

【 授权许可】

Unknown