Abstract
We develop a convergence theory for convex and linearly constrained trust region methods which only requires that the step between iterates produce a sufficient reduction in the trust region subproblem. Global convergence is established for general convex constraints while the local analysis is for linearly constrained problems. The main local result establishes that if the sequence converges to a nondegenerate stationary point then the active constraints at the solution are identified in a finite number of iterations. As a consequence of the identification properties, we develop rate of convergence results by assuming that the step is a truncated Newton method. Our development is mainly geometrical; this approach allows the development of a convergence theory without any linear independence assumptions.
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Work supported in part by the Applied Mathematical Sciences subprogram of the Office of Energy Research of the U.S. Department of Energy under Contract W-31-109-Eng-38.
Work supported in part by the National Science Foundation grant DMS-8803206 and by the Air Force Office of Scientific Research grant AFSOR-860080.
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Burke, J.V., Moré, J.J. & Toraldo, G. Convergence properties of trust region methods for linear and convex constraints. Mathematical Programming 47, 305–336 (1990). https://doi.org/10.1007/BF01580867
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DOI: https://doi.org/10.1007/BF01580867