A nonmonotone trust region method based on simple quadratic models

Abstract

In this paper, a new nonmonotone trust region algorithm with simple quadratic models is proposed. Unlike traditional nonmonotone trust region method, our trust region subproblem is very simple by using a new scale approximation of the minimizing function’s Hessian. The global convergence of the proposed algorithm is established under some reasonable conditions. Numerical tests on a set of large scale standard test problems are presented and show that the new algorithm is efficient and robust.