We describe a matrix-free trust-region algorithm for solving convex-constrained optimization problems that uses the spectral projected gradient method to compute trial steps. To project onto the intersection of the feasible set and the trust region, we reformulate and solve the dual projection problem as a one-dimensional root finding problem. We demonstrate our algorithm’s performance on various problems from data science and PDE-constrained optimization. Our algorithm shows superior performance when compared with five existing trust-region and spectral projected gradient methods, and has the added benefit that it is simple to implement.
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This research was sponsored by the U.S. Air Force Office of Scientific Research, Optimization Program under Award NO: F4FGA09135G001.
Sandia National Laboratories is a multimission laboratory managed and operated by National Technology and Engineering Solutions of Sandia, LLC., a wholly owned subsidiary of Honeywell International, Inc., for the U.S. Department of Energy’s National Nuclear Security Administration under contract DE-NA0003525. This paper describes objective technical results and analysis. Any subjective views or opinions that might be expressed in the paper do not necessarily represent the views of the U.S. Department of Energy or the United States Government.
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Kouri, D.P. A matrix-free trust-region newton algorithm for convex-constrained optimization. Optim Lett (2021). https://doi.org/10.1007/s11590-021-01794-1
- Nonconvex optimization
- Convex constraints
- Trust regions
- Spectral projected gradient
- Large-scale optimization
- Newton’s method