A SPARSE SUBSPACE TRUNCATED NEWTON METHOD FOR LARGE-SCALE BOUND CONSTRAINED NONLINEAR OPTIMIZATION

摘要

In this paper we report a sparse truncated Newton algorithm for handling large-scale simple bound nonlinear constrained minimization problem. The truncated Newton method is used to update the variables with indices outside of the active set, while the projected gradient method is used to update the active variables. At each iterative level, the search direction consists of three parts, one of which is a subspace truncated Newton direction, the other two are subs pace gradient and modified gradient directions. The subspace truncated Newton direction is obtained by solving a sparse system of linear equations. The global convergence and quadratic convergence rate of the algorithm are proved and some numerical tests are given.