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A Matrix-Free Algorithm for the Large-Scale Constrained Trust-Region Subproblem

Published

Author(s)

Anthony J. Kearsley

Abstract

A new matrix-free algorithm for the solution of linear inequality constrained, large-scale trust-region sub-problems is presented. The matrix-free nature of the algorithm eliminates the need for any matrix factorizations and only requires inner products between vectors and rows/columns of matrices. Numerical results that demonstrate the viability of the approach are included.
Citation
Optimization Methods and Software
Volume
2

Keywords

constrained quadratic optimization, lanczos method, regularization, trust region

Citation

Kearsley, A. (2006), A Matrix-Free Algorithm for the Large-Scale Constrained Trust-Region Subproblem, Optimization Methods and Software, [online], https://tsapps.nist.gov/publication/get_pdf.cfm?pub_id=50695 (Accessed April 21, 2024)
Created April 28, 2006, Updated February 17, 2017