Correction of nonmonotone trust region algorithm based on a modified diagonal regularized quasi-Newton method

Abstract

Abstract In this paper, a new appropriate diagonal matrix estimation of the Hessian is introduced by minimizing the Byrd and Nocedal function subject to the weak secant equation. The Hessian estimate is used to correct the framework of a nonmonotone trust region algorithm with the regularized quasi-Newton method. Moreover, to counteract the adverse effect of monotonicity, we introduce a new nonmonotone strategy. The global and superlinear convergence of the suggested algorithm is established under some standard conditions. The numerical experiments on unconstrained optimization test functions show that the new algorithm is efficient and robust.

Keywords

• Unconstrained optimization
• Trust region
• Line search
• Regularized quasi-Newton
• Nonmonotone strategy