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We consider an efficient trust-region
framework which employs a new non-monotone line
search technique for unconstrained optimization
problems. Unlike the traditional non-monotonic
trust-region method, the new point is given by the
non-monotonic Wolfe line search at each iteration, and
the trust region radius is updated at a variable rate.
The new algorithm solves the trust region sub-problem
only once at each iteration. Under certain conditions,
the global convergence of the algorithm is proved.

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with Non-monotonic Line Search

Xiao Wu1, Qinghua Zhou1,*, Changyuan Li1, Xiaodian Sun2

1College

of Mathematics and Information Science, Hebei University, Baoding, Hebei Province, China, 071002.

2Laboratory

for Statistical Genomics and Systems Biology, Department of Environmental Health, University of

Cincinnati College of Medicine, 3223 Eden Ave. ML56, Cincinnati OH 45267-0056, USA

(wuxiao616@163.com, qinghua.zhou@gmail.com(*corresponding author), mbydlcy@126.com, sunxd@uc.edu)

---------------------------------------------------------------------***---------------------------------------------------------------------

framework which employs a new non-monotone

search

technique

problems.

Unlike

for

the

unconstrained

traditional

line

solution. At the

min f k (d ) = f k + g kT d +

optimization

1 T

d Bk d

2

(2)

s.t P d P D k .

non-monotonic

gk = f ( xk )

where

The new algorithm solves the trust region sub-problem

only once at each iteration. Under certain conditions,

the global convergence of the algorithm is proved.

f k = f ( xk )

and

are

the

xk respectively, Bk is an n n

symmetric matrix which may be the exact Hessian H ( xk )

or the quasi-Newton approximation and D k > 0 is the

trust region radius. In this paper, the notation PP

n

denotes the Euclidean norm on R . After obtaining d k ,

the trust region method computes the ratio rk between

approximation iterate

objective function to check if

value of rk , since rk reflect the extent to which the

quadratic model f k (d ) approximates the objective

function f ( xk + d ) . Hei [1] proposed a self-adaptive

trust region algorithm, in which D k is updated by

R -function at a variable rate.

trust region radius

line search

1. INTRODUCTION

We consider the following unconstrained optimization

problem

minn f ( x).

x R

where

(1)

technique for solving problem (1) to find the global optimal

2015, IRJET.NET- All Rights Reserved

optimization is first proposed by Grippo et al. [2]. Due to its

high

efficiency,

many

authors

generalized

the

proposed non-monotone trust region method, see [3,4].

Yang and Sun [5] proposed a new region algorithm where

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Rh (t ) defined

R = (- , + ) with the parameter h (0,1) is

R -function if and only if it satisfies:

Rh (t ) is non-decreasing in (- , + ) ;

lim Rh (t ) = b1 , where b1 (0,1) is a small

in

an

1)

2)

algorithm

constant;

with

line

search.

Unlike

traditional

t -

3)

a constant;

4)

5) lim Rh (t ) = b 2 , where b 2 (1 + g 2 , + ) is a

length.

constant.

Mosoud

Ahookhosh

[7]

introduced

variant

t +

Theorem 2 An

satisfies

maximum of function value of some prior successful

a k by

Algorithm 1

f ( xk + a k dk ) Rk + ba k g dk .

T

k

g ( xk + a k dk )T dk g gkT dk .

where

(3)

In this paper, we determine the step-length

Rk = hk fl ( k ) + (1- hk ) f k

hmin [0,1)

and

hmax [hmin ,1] .And we improve the self-adaptive trust

0 < g1 < 1- b1 , g 2 > 0, b 2 > 1+ g 2 ,0 < c1 < 1, N > 0,

0 < b < g < 1 . Set k = 0, m(0) = 0.

Step 2 Compute g ( xk ) . If P g ( xk ) P e , stop.

Step 3 Solve the sub-problem (2) for d k satisfying

predk t P gk P min{D k ,P gk P P Bk P}. (5)

Step 1 Given

where

ideas: backtracking line search and non-monotonic

fl ( k ) , Rk and r k = ( Rk - f ( xk + dk )) /

pred k ,find the step-length a k satisfying in

Step 4 Compute

f ( xk + a k dk ) Rk + ba k gkT dk .

(7)

g ( xk + a k dk )T dk g gkT dk .

line search.

2. NEW ALGORITHM

Before describing the new algorithm, we need the following

definition and conclusion ([5]).

2015, IRJET.NET- All Rights Reserved

(8)

xk + 1 = xk + a k dk , go to Step 5.

Step 5 D k + 1 = Rc1 (r k )D k . Update the matrix Bk + 1 by a

Set

Page 61

p-ISSN: 2395-0072

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go to Step 1.

{ fl ( k ) } is a decreasing

sequence.

Lemma 4 Suppose that (H1)-(H4) hold and the sequence

3. CONVERGENCE ANALYSIS

lim f ( xl ( k ) ) = lim f ( xk ).

(15)

assumptions.

Proof. Using (7) and (11), we obtain

Assumption

f ( xl ( k ) ) = f ( xl ( k )- 1 + a l ( k )- 1dl ( k )- 1 )

bound on the level set L( x) = {x | f ( x) f ( x0 )} is

(H1)

Rl ( k )- 1 + ba l ( k )- 1 g Tl ( k )- 1 dl ( k )- 1

compact.

there exist b > 0 such that P Bk P b for all k N .

(H3) f ( x) is uniformly continuous, there exist a

constant L > 0 such that

P f ( x) - f ( y) P L P x - y P, " x, y R n . (9)

(H4) There exists a constant e such that the trial step

d k satisfies

(10)

P dk P e P gk P.

fl (l ( k )- 1) + ba l ( k )- 1 g Tl ( k )- 1 dl ( k )- 1.

lim a l ( k )- 1 g Tl ( k )- 1 dl ( k )- 1 = 0.

lim a l ( k )- 1 P dl ( k )- 1 P= 0.

{xk } be generated

by Algorithm 1, then the sequence { f l ( k ) } is a decreasing

sequence.

Proof.

Using definition of

Rk and fl ( k ) , we observe

lim Rk = lim f ( xk ).

that

Rk = hk fl ( k ) + (1- hk ) f k

hk fl ( k ) + (1- hk ) fl ( k )

(16)

(11)

a k be

sequence generated by Algorithm 1 and {D k } are

bounded upper, if g ( x) is uniformly continuous satisfies

P gk P e > 0 " k.

where e > 0 , then there exists a constant a > 0 such

Lemma 6 Suppose that (H2) and (H3) hold. Let

= fl ( k )

f ( xk + a k d k ) Rk + ba k g kT d k

Rk .

(12)

that

f k + 1 Rk fl ( k ) .

(13)

We have m(k + 1) m(k ) + 1 , thus from the definition

of f l ( k + 1) and (13), we can write

fl ( k + 1) = max { f k - j + 1}

0 j m ( k + 1)

{xk } be

max { f k -

0 j m ( k )+ 1

j+ 1

= max{ fl ( k ) , f k + 1}

fl ( k ) .

2015, IRJET.NET- All Rights Reserved

(14)

a k a " k.

(17)

we have the conclusion.

Lemma 7 If

sequence

P gk P e > 0.

(18)

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c

Dk

, k = 0,1,L

Mk

where

f ( xk + d k ) - Rk

f ( xk + d k ) - f ( xk )

(19)

M k is defined by M k = 1 + max P Bk P.

d kT [ f ( xk + qd k ) - f ( xk )]d q + f ( xk )T d k

< g kT d k +

1 i k

exist a positive number s such that

d kT [ f ( x + d ) - f ( x)]

t e (1- c1 )

P d k P.

2

Proof. Because

(20)

1

t (1- c1 )e P d k P.

2

is satisfied for all P d k P< s . We show by induction that

(19) holds with

when k = 0 , it is obvious that D 0 c M 0 , so (19)

holds for

Since

k + 1.

Moreover, we have by (5) and (18) that

Multiplying (26) by

we get

D 2k P Bk P

- d kT Bk d k

> 2(1- c1 )t e min{D k , e P Bk P} - (1- c1 )t e P d k P

D k+ 1

(24)

c

.

Mk

(22)

= (1- c1 )t e min{D k , 2e P Bk P- D k }.

when r k c1 , D k + 1 D k c M k . In this case, relation

Since

(1- g1 )D k .

If P d k P s , then

D k + 1 b1D k

bound on the product

D k P Bk P> min{(1- c1 )t e, e} c b1 .

always holds. So

Thus, (19) holds for k + 1 . Therefore, by induction, (19)

holds for all

k.

b1 P d k P

b1s

b1s M 0 M k

c Mk .

If

lim inf P gk P= 0.

f ( xk + d k ) - Rk > - c1 (f k (0) - f k (d k ))

= c1 ( g kT d k + d kT Bk d k 2).

{xk } be

(27)

not true, that is, there exists a constant e > 0 such that

(23)

P gk P e, " k .

It follows from (6), (7), (11) and Lemma 6 that

Page 63

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fl ( k ) = f ( xl ( k )- 1 + a l ( k )- 1dl ( k )- 1 )

Rl ( k )- 1 + ba l ( k )- 1 glT( k )- 1dl ( k )- 1

min{D

Rl ( k )- 1 - t b ae

l ( k )- 1 , e b}

(28)

Applied Mathematics and Computation. 163, 707-716.

lim D l ( k )- 1 = 0.

(29)

solving optimization problems. Applied Mathematics

k - N k - m(k ) l (k ) k

and hence

0 k - l (k ) N .

[5]Yang Yang, Wenyu Sun., (2007). A New Non-monotonic

(30)

D k and Theorem 2,

j

j

b1 D k D k + j b 2 D k holds for all j . Thus, it follows

from (30) that

Chinese Journal of Engineering Mathrmatics. 24,

788-794.

[6] X. Wang, C.L. Wang., (2014). A new nonmonotone

b1M + 1D l ( k )- 1 D k b 2M + 1D l ( k )- 1.

Then, from (29), we have lim D k

in Lemma 7.

[3]Fu J H, Sun W., (2005). Non-monotone adaptive

min{D

fl (l ( k )- 1) - t b ae

l ( k )- 1 , e b}.

= 0 . It contradicts (19)

Chinese).

Science

and

Mathematics.

34,

179-186.

[7]M.

4. CONCLUSIONS

System

Ahookhosh,

K.

Amini.,

(2002).

An

efficient

optimization. Numer Algor. 59, 523-540.

large-scale

near future, we would like to investigate some new type of

combinations composed of different functions values in

order to sufficiently use the information which the

algorithm has already derived.

unconstrained

optimization.

Applied

[9] S.M. Pang, L.P Chen., (2011). A trust-region method with

nonmonotone line search(in Chinese). Mathematica

numerica sinca. 33, 48-56.

ACKNOWLEDGEMENTS

This work is supported by the National Natural Science

Foundation of China (61473111) and the National Science

Foundation of Hebei Province (Grant No. A2014201003,

A2014201100).

REFERENCES

[1]Hei L., (2003). A self-adaptive trust region algorithm.

Journal of Computational Mathematics. 21, 229-236.

2015, IRJET.NET- All Rights Reserved

Page 64

p-ISSN: 2395-0072

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BIOGRAPHIES

Xiao Wu:

Postgraduate student

Information

Science,

Hebei

interest

mainly

concerns

trust region methods .

University. Major interest includes

Optimization

Theory

and

its

Applications.

the

College

of

Mathematics

and

China. His research interest includes

non-monotone trust region methods

and derivative-free methods.

University of Cincinnati College of

Medicine.

includes

inference,

Her

research

dynamic

time

interest

modeling

series,

and

statistical

learning.

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