Abstract
Chen and Zhang [Sci. China, Ser. A, 45, 1390–1397 (2002)] introduced an affine scaling trust region algorithm for linearly constrained optimization and analyzed its global convergence. In this paper, we derive a new affine scaling trust region algorithm with dwindling filter for linearly constrained optimization. Different from Chen and Zhang’s work, the trial points generated by the new algorithm are accepted if they improve the objective function or improve the first order necessary optimality conditions. Under mild conditions, we discuss both the global and local convergence of the new algorithm. Preliminary numerical results are reported.
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