\texttt{trlib}: a vector-free implementation of the GLTR method for iterative solution of the trust region problem
From MaRDI portal
Publication:4637824
Abstract: We describe trlib, a library that implements a variant of Gould's Generalized Lanczos method (Gould et al. in SIAM J. Opt. 9(2), 504-525, 1999) for solving the trust region problem. Our implementation has several distinct features that set it apart from preexisting ones. We implement both conjugate gradient (CG) and Lanczos iterations for assembly of Krylov subspaces. A vector- and matrix-free reverse communication interface allows the use of most general data structures, such as those arising after discretization of function space problems. The hard case of the trust region problem frequently arises in sequential methods for nonlinear optimization. In this implementation, we made an effort to fully address the hard case in an exact way by considering all invariant Krylov subspaces. We investigate the numerical performance of trlib on the full subset of unconstrained problems of the CUTEst benchmark set. In addition to this, interfacing the PDE discretization toolkit FEniCS with trlib using the vector-free reverse communication interface is demonstrated for a family of PDE-constrained control trust region problems adapted from the OPTPDE collection.
Recommendations
- On the generalized Lanczos trust-region method
- Solving the Trust-Region Subproblem using the Lanczos Method
- A Nested Lanczos Method for the Trust-Region Subproblem
- On solving trust-region and other regularised subproblems in optimization
- The convergence of the generalized Lanczos trust-region method for the trust-region subproblem
Cites work
- A new matrix-free algorithm for the large-scale trust-region subproblem
- A note on preconditioners and scalar products in Krylov subspace methods for self-adjoint problems in Hilbert space
- A Note on Preconditioning for Indefinite Linear Systems
- A semidefinite framework for trust region subproblems with applications to large scale minimization
- A Subspace Minimization Method for the Trust-Region Step
- A trust region algorithm with a worst-case iteration complexity of \(\mathcal{O}(\epsilon ^{-3/2})\) for nonconvex optimization
- Adaptive cubic regularisation methods for unconstrained optimization. I: Motivation, convergence and numerical results
- Adaptive cubic regularisation methods for unconstrained optimization. II: Worst-case function- and derivative-evaluation complexity
- Algorithm 873
- An algorithm for nonlinear optimization using linear programming and equality constrained subproblems
- Applications of the theory of quadratic forms in Hilbert space to the calculus of variations
- ARPACK Users' Guide
- Automated derivation of the adjoint of high-level transient finite element programs
- Benchmarking optimization software with performance profiles.
- Computing a Trust Region Step
- Control of an Elliptic Problem with Pointwise State Constraints
- Convex functional analysis
- CUTEst: a constrained and unconstrained testing environment with safe threads for mathematical optimization
- DOLFIN: automated finite element computing
- Efficient iterative solvers for elliptic finite element problems on nonmatching grids
- Functional analysis, calculus of variations and optimal control
- GALAHAD, a library of thread-safe Fortran 90 packages for large-scale nonlinear optimization
- Global Convergence of a a of Trust-Region Methods for Nonconvex Minimization in Hilbert Space
- scientific article; zbMATH DE number 3725604 (Why is no real title available?)
- scientific article; zbMATH DE number 5060482 (Why is no real title available?)
- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- Iterative methods for finding a trust-region step
- Mesh Independence for Nonlinear Least Squares Problems with Norm Constraints
- Minimization of a Large-Scale Quadratic FunctionSubject to a Spherical Constraint
- Minimizing a quadratic over a sphere
- On solving trust-region and other regularised subproblems in optimization
- On the solution of equality constrained quadratic programming problems arising in optimization
- Optimal control of PDEs with regularized pointwise state constraints
- Optimal solvers for PDE-constrained optimization
- OPTPDE: A collection of problems in PDE-constrained optimization
- Quasi-Newton Methods and Unconstrained Optimal Control Problems
- Solution of Sparse Indefinite Systems of Linear Equations
- Solving the Trust-Region Subproblem using the Lanczos Method
- Superlinear Convergence of Affine-Scaling Interior-Point Newton Methods for Infinite-Dimensional Nonlinear Problems with Pointwise Bounds
- The Conjugate Gradient Method and Trust Regions in Large Scale Optimization
- Tracking the Progress of the Lanczos Algorithm for Large Symmetric Eigenproblems
- Trust Region Methods
- Trust-region methods on Riemannian manifolds
- Unified form language: a domain-specific language for weak formulations of partial differential equations
Cited in
(7)- Newton-type methods for non-convex optimization under inexact Hessian information
- FEM based robust design optimization with Agros and Ārtap
- trlib
- An approximation scheme for distributionally robust PDE-constrained optimization
- Newton-MR: inexact Newton method with minimum residual sub-problem solver
- Some properties of the extended Lindley distribution with modeling of censored and non-censored lifetime data
- How to parallelize ``non-parallelizable minimization functions
Describes a project that uses
Uses Software
This page was built for publication: \texttt{trlib}: a vector-free implementation of the GLTR method for iterative solution of the trust region problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4637824)
