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Sensitivity of trust-region algorithms to their parameters

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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. Recommended ranges of values for these parameters are exhibited on the basis of extensive numerical tests.

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Authors and Affiliations

  1. Computational Science and Engineering Departement, Rutherford Appleton Laboratory, Chilton, Oxfordshire, UK

    Nicholas I. M. Gould

  2. Département de Mathématiques et Génie Industriel, Ecole Polytechnique de Montréal, 2900, Bd E. Montpetit, H3T 1J4, Montréal, Canada

    Dominique Orban

  3. Department of Mathematics, University of Namur, 61, rue de Bruxelles, 5000, Namur, Belgium

    Annick Sartenaer & Phillipe L. Toint

Authors
  1. Nicholas I. M. Gould
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  2. Dominique Orban
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  3. Annick Sartenaer
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  4. Phillipe L. Toint
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Corresponding author

Correspondence to Nicholas I. M. Gould.

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MSC classification:

65K05, 90C26, 90C30

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Gould, N.I.M., Orban, D., Sartenaer, A. et al. Sensitivity of trust-region algorithms to their parameters. 4OR 3, 227–241 (2005). https://doi.org/10.1007/s10288-005-0065-y

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  • DOI: https://doi.org/10.1007/s10288-005-0065-y

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