Module trust_region

source code

Functions

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trust_region(delta_max=100000.0, delta0=1.0, eta=0.2)
An algorithm for trust region radius selection.

source code

calc_rho(func, xk, pk, dfk, Bk)
Function to calculate the ratio rho used to choose the trust region radius.

source code

Imports: dot, sqrt

Function Details

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trust_region(delta_max=100000.0, delta0=1.0, eta=0.2)

source code

An algorithm for trust region radius selection.

Page 68 from 'Numerical Optimization' by Jorge Nocedal and Stephen J. Wright, 1999

calc_rho(func, xk, pk, dfk, Bk)

source code

Function to calculate the ratio rho used to choose the trust region radius.

The ratio is defined as:

                f(xk) - f(xk + pk)
        rho  =  ------------------
                  mk(0) - mk(pk)

Where the numerator is called the actual reduction and the denominator is the predicted reduction.