classobj Trust_region

Known Subclasses:

• dogleg.Dogleg
• , cauchy_point.Cauchy_point
• , exact_trust_region.Exact_trust_region
• , steihaug_cg.Steihaug

Instance Methods

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

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

Method Details

trust_region_update(self)

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.