Class Trust_region

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Instance Methods

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__init__(self)
Base class containing the generic trust-region functions.

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trust_region_update(self)
An algorithm for trust region radius selection.

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Method Details

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trust_region_update(self)

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An algorithm for trust region radius selection.

Page 68 from 'Numerical Optimization' by Jorge Nocedal and Stephen J. Wright, 1999, 2nd ed.

First calculate rho using the formula:

            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.

Secondly choose the trust region radius for the next iteration.
Finally decide if xk+1 should be shifted to xk.