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DOI 10.5286/raltr.2011007
Persistent URL http://purl.org/net/epubs/work/55309
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Record Id 55309
Title Updating the regularization parameter in the adaptive cubic regularization algorithm
Abstract The adaptive cubic regularization method (Cartis, Gould & Toint, Math. Programming, DOI: 10.1007/s10107-009-0286-5& 10.1007/s10107-009-0337-y) has been recently proposed for solving unconstrained minimization problems. At each iteration of this method, the objective function is replaced by a cubic approximation which comprises an adaptive regu-larization parameter whose role is related to the local Lipschitz constant of the objective's Hessian. We present new updating strategies for this parameter based on interpolation techniques, which improve the overall numerical performance of the algorithm. Numerical experiments on large nonlinear least-squares problems are provided.
Organisation CSE , CSE-NAG , STFC
Keywords cubic regularization , numerical performance , AMS classification : 49J52, 49M37, 65F22, 65K05, 90C26, 90C30, 90c55 , unconstrained optimization
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Language English (EN)
Type Details URI(s) Local file(s) Year
Report RAL Technical Reports RAL-TR-2011-007. 2011. RAL-TR-2011-007.pdf 2011