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arXiv · 1506.07222

On Solving L-SR1 Trust-Region Subproblems

Johannes Brust·Jennifer B. Erway·Roummel F. Marcia
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Abstract

In this article, we consider solvers for large-scale trust-region subproblems when the quadratic model is defined by a limited-memory symmetric rank-one (L-SR1) quasi-Newton matrix. We propose a solver that exploits the compact representation of L-SR1 matrices. Our approach makes use of both an orthonormal basis for the eigenspace of the L-SR1 matrix and the Sherman-Morrison-Woodbury formula to compute global solutions to trust-region subproblems. To compute the optimal Lagrange multiplier for the trust-region constraint, we use Newton's method with a judicious initial guess that does not require safeguarding. A crucial property of this solver is that it is able to compute high-accuracy solutions even in the so-called hard case. Additionally, the optimal solution is determined directly by formula, not iteratively. Numerical experiments demonstrate the effectiveness of this solver.

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Johannes Brust, Jennifer B. Erway, Roummel F. Marcia. 2015-06-24. On Solving L-SR1 Trust-Region Subproblems. https://arxiv.org/abs/1506.07222

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