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research article

Dealing with singularities in nonlinear unconstrained optimization

Bierlaire, Michel  
•
Thémans, Michaël  
2009
European Journal of Operational Research

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. (C) 2008 Elsevier B.V. All rights reserved

  • Details
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Type
research article
DOI
10.1016/j.ejor.2008.02.036
Web of Science ID

WOS:000262121400003

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

2009

Published in
European Journal of Operational Research
Volume

196

Issue

1

Start page

33

End page

42

Subjects

Trust-region

•

Filter

•

Singularity

•

Numerical tests

•

Newton Method

•

Equations

•

Convergence

•

Algorithm

•

Software

•

Points

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
TRANSP-OR  
Available on Infoscience
February 15, 2008
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/18350
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