为了提高求解半定规划问题的运算效率,提出了一种新的求解半定规划的非单调信赖域算法。将半定规划的最优性条件转化为无约束优化问题,并构造无约束优化问题的信赖域子问题,修正信赖域半径的校正条件,当初始搜索点处于峡谷附近时仍能搜索到全局最优解。实验结果表明,对于小规模和中等规模的半定规划问题,该算法的迭代次数都比经典的内I最算法少,运行速度快。
In order to improve the operational efficiency of SemiDefinite Programming (SDP), a new nonmonotonie trust region algorithm was proposed. The SDP problem and its duality problem were transformed into unconstrained optimization problem and the trust region subproblem was constructed, the trust region radius correction condition was modified. When the initial search point was near the canyon, the global optimal solution still could be found. The experimental results show that the number of iterations of the algorithm is less than the classical interior point algorithm for small and medium scale semidefinite programming problems, and the proposed algorithm works faster.