A modified nearly exact method for solving low-rank trust region subproblem

Zhaosong Lu, Renato D.C. Monteiro

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

In this paper, we first discuss how the nearly exact (NE) method proposed by Moré and Sorensen [14] for solving trust region (TR) subproblems can be modified to solve large-scale "low-rank" TR subproblems efficiently. Our modified algorithm completely avoids computation of Cholesky factorizations by instead relying primarily on the Sherman-Morrison-Woodbury formula for computing inverses of "diagonal plus low-rank" type matrices. We also implement a specific version of the modified log-barrier (MLB) algorithm proposed by Polyak [17] where the generated log-barrier subproblems are solved by a trust region method. The corresponding direction finding TR subproblems are of the low-rank type and are then solved by our modified NE method. We finally discuss the computational results of our implementation of the MLB method and its comparison with a version of LANCELOT [5] based on a collection extracted from CUTEr [12] of nonlinear programming problems with simple bound constraints.

Original languageEnglish (US)
Pages (from-to)385-411
Number of pages27
JournalMathematical Programming
Volume109
Issue number2-3
DOIs
StatePublished - Mar 1 2007
Externally publishedYes

Keywords

  • Large-scale optimization
  • Limited-memory BFGS method
  • Nearly exact method
  • Sherman-Morrison-Woodbury formula
  • Trust region method

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