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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. |
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