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An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds

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We propose a new trust region approach for minimizing a nonlinear function subject to simple bounds. By choosing an appropriate quadratic model and scaling matrix at each iteration, we show that it is not necessary to solve a quadratic programming subproblem, with linear inequalities, to obtain an improved step using the trust region idea. Instead, a solution to a trust region subproblem is defined by minimizing a quadratic function subject only to an ellipsoidal constraint. The iterates generated by these methods are always strictly feasible. Our proposed methods reduce to a standard trust region approach for the unconstrained problem when there are no upper or lower bounds on the variables. Global and quadratic convergence of the methods is established; preliminary numerical experiments are reported.

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1993-05

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Cornell University

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computer science; technical report

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http://techreports.library.cornell.edu:8081/Dienst/UI/1.0/Display/cul.cs/TR93-1342

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technical report

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