A ROBUST TRUST REGION ALGORITHM FOR SOLVING GENERAL NONLINEAR PROGRAMMING

摘要

The trust region approach has been extended to solving nonlinear constrained opti- mization. Most of these extensions consider only equality constraints and require strong global regularity assumptions. In this paper, a trust region algorithm for solving general nonlinear programming is presented, which solves an unconstrained piecewise quadratic trust region subproblem and a quadratic programming trust region subproblem at each iteration. A new technique for updating the penalty parameter is introduced. Under very mild conditions, the global convergence results are proved. Some local convergence results are also proved. Preliminary numerical results are also reported.