[图书][B] Trust-Region Methods for Unconstrained Optimization Problems

M Rezapour - 2020 - search.proquest.com
2020search.proquest.com
We present trust-region methods for the general unconstrained minimization problem. Trust-
region algorithms iteratively minimize a model of the objective function within the trust-region
and update the size of the region to find a first-order stationary point for the objective
function. The radius of the trust-region is updated based on the agreement between the
model and the objective function at the new trial point. The efficiency of the trust-region
algorithms depends significantly on the size of the trust-region, the agreement between the …
Abstract
We present trust-region methods for the general unconstrained minimization problem. Trust-region algorithms iteratively minimize a model of the objective function within the trust-region and update the size of the region to find a first-order stationary point for the objective function. The radius of the trust-region is updated based on the agreement between the model and the objective function at the new trial point. The efficiency of the trust-region algorithms depends significantly on the size of the trust-region, the agreement between the model and the objective function and the model value reduction at each step. The size of the trust-region at each step plays a key role in the efficiency of the trust-region algorithm, particularly for large scale problems, because constructing and minimizing the model at each step requires gradient and Hessian information of the objective function. If the trust-region is too small or too large, then more models must be constructed and minimized, which is computationally expensive.
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