Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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A LINE SEARCH TRUST REGION ALGORITHM AND ITS APPLICATION TO NONLINEAR PORTFOLIO PROBLEMS

  • Gu, Nengzhu (School of Business, University of Shanghai for Science and Technology) ;
  • Zhao, Yan (School of Business, University of Shanghai for Science and Technology) ;
  • Gao, Yan (School of Business, University of Shanghai for Science and Technology)
  • Published : 2009.01.31
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Abstract

This paper concerns an algorithm that combines line search and trust region step for nonlinear optimization problems. Unlike traditional trust region methods, we incorporate the Armijo line search technique into trust region method to solve the subproblem. In addition, the subproblem is solved accurately, but instead solved by inaccurate method. If a trial step is not accepted, our algorithm performs the Armijo line search from the failed point to find a suitable steplength. At each iteration, the subproblem is solved only one time. In contrast to interior methods, the optimal solution is derived by iterating from outside of the feasible region. In numerical experiment, we apply the algorithm to nonlinear portfolio optimization problems, primary numerical results are presented.

Keywords

References

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