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Solving Large Scale Cubic Regularization by a Generalized Eigenvalue Problem

Felix Lieder (lieder***at***opt.uni-duesseldorf.de)

Abstract: Cubic Regularization methods have several favorable properties. In particular under mild assumptions, they are globally convergent towards critical points with second order necessary conditions satisfied. Their adoption among practitioners, however, does not yet match the strong theoretical results. One of the reasons for this discrepancy may be additional implementation complexity needed to solve the occurring sub-problems. In this paper we show that this complexity can be essentially eliminated by reducing the sub-problem to a generalized eigenvalue problem. The resulting algorithm is not only robust, due to existing highly advanced eigenvalue solvers, but also provides a new way of employing second order methods in the large scale case.

Keywords: Cubic Regularization, Generalized Eigenvalue Problem, Large Scale

Category 1: Nonlinear Optimization

Category 2: Nonlinear Optimization (Unconstrained Optimization )

Category 3: Optimization Software and Modeling Systems

Citation: submitted

Download: [PDF]

Entry Submitted: 10/04/2019
Entry Accepted: 10/04/2019
Entry Last Modified: 10/04/2019

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