The Mathematical Institute, University of Oxford, Eprints Archive

A second-derivative trust-region SQP method with a "trust-region-free" predictor step

Gould, Nicholas I. M. and Robinson, Daniel P. (2009) A second-derivative trust-region SQP method with a "trust-region-free" predictor step. Technical Report. IMA Journal of Numerical Analysis. (Submitted)

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Abstract

In (NAR 08/18 and 08/21, Oxford University Computing Laboratory, 2008) we introduced a second-derivative SQP method (S2QP) for solving nonlinear nonconvex optimization problems. We proved that the method is globally convergent and locally superlinearly convergent under standard assumptions. A critical component of the algorithm is the so-called predictor step, which is computed from a strictly convex quadratic program with a trust-region constraint. This step is essential for proving global convergence, but its propensity to identify the optimal active set is Paramount for recovering fast local convergence. Thus the global and local efficiency of the method is intimately coupled with the quality of the predictor step.

In this paper we study the effects of removing the trust-region constraint from the computation of the predictor step; this is reasonable since the resulting problem is still strictly convex and thus well-defined. Although this is an interesting theoretical question, our motivation is based on practicality. Our preliminary numerical experience with S2QP indicates that the trust-region constraint occasionally degrades the quality of the predictor step and diminishes its ability to correctly identify the optimal active set. Moreover, removal of the trust-region constraint allows for re-use of the predictor step over a sequence of failed iterations thus reducing computation. We show that the modified algorithm remains globally convergent and preserves local superlinear convergence provided a nonmonotone strategy is incorporated.

Item Type:Technical Report (Technical Report)
Subjects:O - Z > Operations research, mathematical programming
A - C > Calculus of variations and optimal control
H - N > Numerical analysis
Research Groups:Numerical Analysis Group
ID Code:864
Deposited By:Lotti Ekert
Deposited On:16 Dec 2009 08:07
Last Modified:16 Dec 2009 08:07

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