An interior affine scaling cubic regularization algorithm for derivative-free optimization subject to bound constraints

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:321

Article

Huang, Xiaojin¹  Zhu, Detong¹ 

[1] Shanghai Normal Univ, Math & Sci Coll, Shanghai 200234, Peoples R China

关键词: Affine scaling;    Derivative-free method;    Cubic regularization;    Interior point method;    Lagrange interpolation;   

DOI  :  10.1016/j.cam.2017.02.028

来源: Elsevier

【 摘 要 】

In this paper, we introduce an affine scaling cubic regularization algorithm for solving optimization problem without available derivatives subject to bound constraints employing a polynomial interpolation approach to handle the unavailable derivatives of the original objective function. We first define an affine scaling cubic model of the approximate objective function which is obtained by the polynomial interpolation approach with an affine scaling method. At each iteration a candidate search direction is determined by solving the affine scaling cubic regularization subproblem and the new iteration is strictly feasible by way of an interior backtracking technique. The global convergence and local superlinear convergence of the proposed algorithm are established under some mild conditions. Preliminary numerical results are reported to show the effectiveness of the proposed algorithm. (C) 2017 Elsevier B.V. All rights reserved.

【 授权许可】

Free