A Nested Lanczos Method for the Trust-Region Subproblem

DOI10.1137/17M1145914zbMATH Open1402.90113OpenAlexW2810319121MaRDI QIDQ3174764FDOQ3174764

Chungen Shen, Lei-Hong Zhang

Publication date: 18 July 2018

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1145914

zbMATH Keywords

Krylov subspaceLanczos methodill-conditionedtrust-region subproblemrestartingnested GMRES

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Quadratic programming (90C20) Large-scale problems in mathematical programming (90C06) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Iterative numerical methods for linear systems (65F10)

Cites Work

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• The university of Florida sparse matrix collection
• Computing a Trust Region Step
• Solving the Trust-Region Subproblem using the Lanczos Method
• Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
• Trust Region Methods
• A trust-region approach to the regularization of large-scale discrete forms of ill-posed problems
• The Conjugate Gradient Method and Trust Regions in Large Scale Optimization
• Variational Iterative Methods for Nonsymmetric Systems of Linear Equations
• Nested Krylov methods based on GCR
• GMRESR: a family of nested GMRES methods
• Minimization of a Large-Scale Quadratic FunctionSubject to a Spherical Constraint
• A constrained eigenvalue problem
• A semidefinite framework for trust region subproblems with applications to large scale minimization
• A new matrix-free algorithm for the large-scale trust-region subproblem
• Computing Optimal Locally Constrained Steps
• On solving trust-region and other regularised subproblems in optimization
• Minimizing a quadratic over a sphere
• Locally optimal and heavy ball GMRES methods
• The trust region subproblem and semidefinite programming*
• Quadratically constrained least squares and quadratic problems
• Algorithm 873
• Graph Partitioning and Continuous Quadratic Programming
• Solving the Trust-Region Subproblem By a Generalized Eigenvalue Problem
• On the Generalized Lanczos Trust-Region Method
• Error bounds of Lanczos approach for trust-region subproblem
• A Lanczos Method for Large-Scale Extreme Lorentz Eigenvalue Problems

Cited In (9)

• Error estimates for iterative algorithms for minimizing regularized quadratic subproblems
• A Block Lanczos Method for Large-Scale Quadratic Minimization Problems with Orthogonality Constraints
• Solving the Cubic Regularization Model by a Nested Restarting Lanczos Method
• Solving the Trust-Region Subproblem using the Lanczos Method
• Simultaneous iterative solutions for the trust-region and minimum eigenvalue subproblem
• A Structure-Exploiting Nested Lanczos-Type Iteration for the Multiview Canonical Correlation Analysis
• On convergence of the generalized Lanczos trust-region method for trust-region subproblems
• Hölderian Error Bounds and Kurdyka-Łojasiewicz Inequality for the Trust Region Subproblem
• Refined bounds on the convergence of block Lanczos method for extended trust-region subproblem

Uses Software

• SparseMatrix
• LSTRS
• GQTPAR
• HSL-VF05

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