An adaptive simple model trust region algorithm based on new weak secant equations

Abstract

In this work, we proposed a new trust region method for solving large-scale unconstrained optimization problems. The trust region subproblem with a simple form was constructed based on new weak secant equations, which utilized both gradient and function values and available information from the three most recent points. A modified Metropolis criterion was used to determine whether to accept the trial step, and an adaptive strategy was used to update the trust region radius. The global convergence and locally superlinearly convergence of the new algorithm were established under appropriate conditions. Numerical experiments showed that the proposed algorithm was effective.

Keywords

• trust region method
• weak secant equation
• modified metropolis criterion
• adaptive strategy