On solving trust-region and other regularised subproblems in optimization

The solution of trust-region and regularisation subproblems which arise in unconstrained optimization is considered. Building on the pioneering work of Gay, More’ and Sorensen, methods which obtain the solution of a sequence of parametrized linear systems by factorization are used. Enhancements using high-order polynomial approximation and inverse iteration ensure that the resulting method is both … Read more