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A Unified Efficient Implementation of Trust-region Type Algorithms for Unconstrained Optimization
INFOR ( IF 1.1 ) Pub Date : 2019-07-29 , DOI: 10.1080/03155986.2019.1624490
Jean-Pierre Dussault 1
Affiliation  

Adaptive cubic regularization (ARC) and trust-region (TR) methods use modified linear systems to compute their steps. The modified systems consist in adding some multiple of the identity matrix (or a well-chosen positive definite matrix) to the Hessian to obtain a sufficiently positive definite linear system, the so called shifted system. This type of system was first proposed by Levenberg and Marquardt. Some trial and error is often involved to obtain a specified value for this shift parameter. We provide an efficient unified implementation to track the shift parameter; our implementation encompasses many ARC and TR variants.



中文翻译:

无约束优化的信任域类型算法的统一有效实现

自适应三次正则化(ARC)和信任区域(TR)方法使用修改后的线性系统来计算其步长。修改后的系统包括在Hessian中添加一定数量的单位矩阵(或选择好的正定矩阵),以获得足够正的定线性系统,即所谓的平移系统。这种类型的系统最早是由Levenberg和Marquardt提出的。为了获得该移位参数的指定值,通常需要反复试验。我们提供了一个有效的统一实现来跟踪shift参数;我们的实现包含许多ARC和TR变体。

更新日期:2019-07-29
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