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|Type:||Artigo de periódico|
|Title:||A new matrix-free algorithm for the large-scale trust-region subproblem|
|Abstract:||We present a new method for the large-scale trust-region subproblem. The method is matrix-free in the sense that only matrix-vector products are required. We recast the trust-region subproblem as a parameterized eigenvalue problem and compute an optimal value for the parameter. We then nd the solution of the trust-region subproblem from the eigenvectors associated with two of the smallest eigenvalues of the parameterized eigenvalue problem corresponding to the optimal parameter. The new algorithm uses a different interpolating scheme than existing methods and introduces a uni ed iteration that naturally includes the so-called hard case. We show that the new iteration is well defined and convergent at a superlinear rate. We present computational results to illustrate convergence properties and robustness of the method.|
constrained quadratic optimization
|Appears in Collections:||Artigos e Materiais de Revistas Científicas - Unicamp|
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