An affine scaling projective reduced Hessian algorithm for minimum optimization with nonlinear equality and linear inequality constraints

Abstract

In this paper we propose a nonmonotonic interior point backtracking strategy to modify the reduced projective affine scaling trust region algorithm for solving minimum optimization subject to both nonlinear equality and linear inequality constraints. The general full trust region subproblem for solving the minimum optimization is decomposed to a pair of trust region subproblems in horizontal and vertical subspaces of linearize equality constraints and extended affine scaling equality constraints by QR decomposition of an affine scaling matrix and an orthonormal basis on the null subspace. The horizontal subproblem in the proposed algorithm is defined by minimizing a quadratic projective reduced Hessian function subject only to an ellipsoidal trust region constraint, while the vertical subproblem is also defined by the least squares subproblem subject only to an ellipsoidal trust region constraint. Combining trust region strategy with line search technique will switch to strictly feasible interior point step generated by a component direction of the two trust region subproblems. By adopting the l 1 penalty function as the merit function, the global convergence and fast local convergence rate of the proposed algorithm are established under some reasonable conditions. The second-order correction step and a nonmonotonic criterion are used to overcome Maratos effect and speed up the convergence progress in some ill-conditioned cases, respectively.