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Sensitivity of trust-region algorithms on their parameters

Nick Gould (n.gould***at***rl.ac.uk)
Dominique Orban (Dominique.orban***at***polymtl.ca)
Annick Sartenaer (annick.sartenear***at***fundp.ac.be)
Philippe Toint (philippe.toint***at***fundp.ac.be)

Abstract: In this paper, we examine the sensitivity of trust-region algorithms on the parameters related to the step acceptance and update of the trust region. We show, in the context of unconstrained programming, that the numerical efficiency of these algorithms can easily be improved by choosing appropriate parameters. Recommanded ranges of values for these parameters are exhibited on the basis of extensive numerical tests.

Keywords: unconstrained programming, trust-region methods, algorithmic parameters

Category 1: Nonlinear Optimization (Unconstrained Optimization )

Category 2: Nonlinear Optimization (Bound-constrained Optimization )

Citation: Technical Report TR_04/06, Department of Mathematics, University of Namur, Namur, Belgium

Download: [Postscript][PDF]

Entry Submitted: 08/16/2004
Entry Accepted: 08/16/2004
Entry Last Modified: 08/20/2004

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