Novel Reformulations and Efficient Algorithms for the Generalized Trust Region Subproblem
نویسندگان
چکیده
منابع مشابه
The generalized trust region subproblem
The interval bounded generalized trust region subproblem (GTRS) consists in minimizing a general quadratic objective, q0(x) → min, subject to an upper and lower bounded general quadratic constraint, l ≤ q1(x) ≤ u. This means that there are no definiteness assumptions on either quadratic function. We first study characterizations of optimality for this implicitly convex problem under a constrain...
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The state-of-the-art algorithms for solving the trust-region subproblem are based on an iterative process, involving solutions of many linear systems, eigenvalue problems, subspace optimization, or line search steps. A relatively underappreciated fact, due to Gander, Golub and von Matt in 1989, is that trust-region subproblems can be solved by one generalized eigenvalue problem, with no outer i...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2019
ISSN: 1052-6234,1095-7189
DOI: 10.1137/18m1174313