Dealing with singularities in nonlinear unconstrained optimization

M. Bierlaire and M. Thémans

European Journal of Operational Research, 2009, vol. 196, issue 1, 33-42

Abstract: We propose a new trust region based optimization algorithm for solving unconstrained nonlinear problems whose second derivatives matrix is singular at a local solution. We give a theoretical characterization of the singularity in this context and we propose an iterative procedure which allows to identify a singularity in the objective function during the course of the optimization algorithm, and artificially adds curvature to the objective function. Numerical tests are performed on a set of unconstrained nonlinear problems, both singular and non-singular. Results illustrate the significant performance improvement compared to classical trust region and filter algorithms proposed in the literature. The approach is also shown to be competitive with tensor methods in terms of efficiency while reaching a higher level of robustness.

Keywords: Trust-region; Filter; Singularity; Numerical; tests (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:196:y:2009:i:1:p:33-42

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