Open AccessA globally convergent modified version of the method of moving asymptotes
Author(s) -
Allal Guessab,
Abderrazak Driouch,
Otheman Nouisser
Publication year - 2019
Publication title -
applicable analysis and discrete mathematics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.69
H-Index - 26
eISSN - 2406-100X
pISSN - 1452-8630
DOI - 10.2298/aadm181204042g
Subject(s) - asymptote , mathematics , convergence (economics) , regular polygon , broyden–fletcher–goldfarb–shanno algorithm , iterative method , mathematical optimization , process (computing) , order (exchange) , mathematical analysis , geometry , computer science , computer network , asynchronous communication , finance , economics , economic growth , operating system
A new modified moving asymptotes method is presented. In each step of the iterative process, a strictly convex approximating subproblem is generated and explicitly solved. In doing so we propose a strategy to incorporate a modified second-order information for the moving asymptotes location. Under natural assumptions, we prove the geometrical convergence. In addition the experimental results reveal that the present method is significantly faster compared to the [1] method, Newton's method and the BFGS Method.