A Filter and Nonmonotone Adaptive Trust Region Line Search Method for Unconstrained Optimization

Abstract

In this paper, a new nonmonotone adaptive trust region algorithm is proposed for unconstrained optimization by combining a multidimensional filter and the Goldstein-type line search technique. A modified trust region ratio is presented which results in more reasonable consistency between the accurate model and the approximate model. When a trial step is rejected, we use a multidimensional filter to increase the likelihood that the trial step is accepted. If the trial step is still not successful with the filter, a nonmonotone Goldstein-type line search is used in the direction of the rejected trial step. The approximation of the Hessian matrix is updated by the modified Quasi-Newton formula (CBFGS). Under appropriate conditions, the proposed algorithm is globally convergent and superlinearly convergent. The new algorithm shows better performance in terms of the Dolan–Moré performance profile. Numerical results demonstrate the efficiency and robustness of the proposed algorithm for solving unconstrained optimization problems.