Solving Large-Scale Cubic Regularization by a Generalized Eigenvalue Problem

DOI10.1137/19M1291388zbMath1458.90589OpenAlexW3113350677MaRDI QIDQ5148399

Felix Lieder

Publication date: 4 February 2021

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/19m1291388

zbMATH Keywords

generalized eigenvalue problemlarge scalecubic regularization

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Newton-type methods (49M15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

Related Items (5)

A filter sequential adaptive cubic regularization algorithm for nonlinear constrained optimization ⋮ A sequential adaptive regularisation using cubics algorithm for solving nonlinear equality constrained optimization ⋮ On local nonglobal minimum of trust-region subproblem and extension ⋮ Solving the Cubic Regularization Model by a Nested Restarting Lanczos Method ⋮ \(\rho\)-regularization subproblems: strong duality and an eigensolver-based algorithm

Uses Software

• GALAHAD
• FEAST
• ARPACK
• GQTPAR
• Manopt
• MINRES-QLP

Cites Work

• Unnamed Item
• 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
• On solving trust-region and other regularised subproblems in optimization
• Accelerating the cubic regularization of Newton's method on convex problems
• Cubic regularization of Newton method and its global performance
• On the use of iterative methods in cubic regularization for unconstrained optimization
• Manopt, a Matlab toolbox for optimization on manifolds
• Solving the Trust-Region Subproblem By a Generalized Eigenvalue Problem
• MINRES-QLP: A Krylov Subspace Method for Indefinite or Singular Symmetric Systems
• Computing a Trust Region Step
• ARPACK Users' Guide
• Accelerated Methods for NonConvex Optimization
• Finding approximate local minima faster than gradient descent
• Error estimates for iterative algorithms for minimizing regularized quadratic subproblems
• Gradient Descent Finds the Cubic-Regularized Nonconvex Newton Step
• GALAHAD, a library of thread-safe Fortran 90 packages for large-scale nonlinear optimization

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