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Dealing with singularities in nonlinear unconstrained optimization

Bierlaire, Michel  
•
Thémans, Michaël  
2006

We propose new trust-region based optimization algorithms 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.

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Type
report
Author(s)
Bierlaire, Michel  
Thémans, Michaël  
Date Issued

2006

Note

Published as: Dealing with singularities in nonlinear unconstrained optimization, European Journal of Operational Research. 196 (1):33-42 (2009).

URL

URL

http://transp-or2.epfl.ch/technicalReports/BierThem06.pdf
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EPFL

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TRANSP-OR  
Available on Infoscience
February 15, 2008
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/18746
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