NDLI: Algorithm 873: LSTRS: MATLAB software for large-scale trust-region subproblems and regularization

Content Provider	ACM Digital Library
Author	Sorensen, Danny C. Rojas, Marielba Santos, Sandra A.
Copyright Year	2008
Abstract	A MATLAB 6.0 implementation of the LSTRS method is presented. LSTRS was described in Rojas et al. [2000]. LSTRS is designed for large-scale quadratic problems with one norm constraint. The method is based on a reformulation of the trust-region subproblem as a parameterized eigenvalue problem, and consists of an iterative procedure that finds the optimal value for the parameter. The adjustment of the parameter requires the solution of a large-scale eigenvalue problem at each step. LSTRS relies on matrix-vector products only and has low and fixed storage requirements, features that make it suitable for large-scale computations. In the MATLAB implementation, the Hessian matrix of the quadratic objective function can be specified either explicitly, or in the form of a matrix-vector multiplication routine. Therefore, the implementation preserves the matrix-free nature of the method. A description of the LSTRS method and of the MATLAB software, version 1.2, is presented. Comparisons with other techniques and applications of the method are also included. A guide for using the software and examples are provided.
Starting Page	1
Ending Page	28
Page Count	28
File Format	PDF
ISSN	00983500
e-ISSN	15577295
DOI	10.1145/1326548.1326553
Volume Number	34
Issue Number	2
Journal	ACM Transactions on Mathematical Software (TOMS)
Language	English
Publisher	Association for Computing Machinery (ACM)
Publisher Date	2008-03-19
Publisher Place	New York
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	ARPACK Lanczos method MATLAB Constrained quadratic optimization Regularization Trust-region
Content Type	Text
Resource Type	Article
Subject	Applied Mathematics Software

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Algorithm 873: lstrs: matlab software for large-scale trust-region subproblems and regularization (2008).

Accelerating the LSTRS Algorithm

A New Matrix-Free Algorithm for the Large-Scale Trust-Region Subproblem

Algorithm 943: MSS: MATLAB Software for L-BFGS Trust-Region Subproblems for Large-Scale Optimization

Minimization of a Large-Scale Quadratic FunctionSubject to a Spherical Constraint

A Trust-Region Approach to the Regularization of Large-Scale Discrete Forms of Ill-Posed Problems

Lstrs software manual (2007).

The generalized trust region subproblem

MSS: MATLAB Software for L-BFGS Trust-Region Subproblems for Large-Scale Optimization

Algorithm 873: LSTRS: MATLAB software for large-scale trust-region subproblems and regularization

Similar Documents

Algorithm 873: lstrs: matlab software for large-scale trust-region subproblems and regularization (2008).

Accelerating the LSTRS Algorithm

A New Matrix-Free Algorithm for the Large-Scale Trust-Region Subproblem

Algorithm 943: MSS: MATLAB Software for L-BFGS Trust-Region Subproblems for Large-Scale Optimization

Minimization of a Large-Scale Quadratic FunctionSubject to a Spherical Constraint

A Trust-Region Approach to the Regularization of Large-Scale Discrete Forms of Ill-Posed Problems

Lstrs software manual (2007).

The generalized trust region subproblem

MSS: MATLAB Software for L-BFGS Trust-Region Subproblems for Large-Scale Optimization

Algorithm 873: LSTRS: MATLAB software for large-scale trust-region subproblems and regularization