Optimization: principles and algorithms, by Michel Bierlaire

Algorithm 12.4: Newton's method with trust region. More...
Go to the source code of this file.
Functions  
function  newtonTrustRegion (in obj, in x0, in delta0, in eps, in tr) 
Applies Newton's algorithm with trust region to solve where . The parameters of the method are taken from [2] (p. 117). More...  
Algorithm 12.4: Newton's method with trust region.
Implementation of algorithm 12.4 of [1]
Definition in file newtonTrustRegion.m.
function newtonTrustRegion  (  in  obj, 
in  x0,  
in  delta0,  
in  eps,  
in  tr  
) 
Applies Newton's algorithm with trust region to solve where . The parameters of the method are taken from [2] (p. 117).
obj  the name of the Octave function defining f(x) and its derivatives 
x0  the starting point 
delta0  radius of the initial trust region 
eps  algorithm stops if . 
tr  method to solve the trust region subproblem. If 0, the dogleg method is used. If different from 0, the truncated conjugate gradient is used (default: 0). 
maxiter  maximum number of iterations (Default: 100) 