Computing a Trust Region Step
Description:
An algorithm is proposed for the problem of minimizing a quadratic function subject to an ellipsoidal constraint which is guaranteed to produce a nearly optimal solution in a finite number of iterations. A robust and efficient algorithm for this problem is required to compute the step between iterates in trust region methods for optimization problems. We also consider the use of our algorithm in a trust region Newton's method. In particular, we prove that under reasonable assumptions the sequen…
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Date:
December 1981
Creator:
Moré, Jorge J. & Sorensen, D. C.
Item Type:
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Partner:
UNT Libraries Government Documents Department