Optimization: principles and algorithms, by Michel Bierlaire

Algorithm 13.2: SR1 method with trust region region. More...
Go to the source code of this file.
Functions  
function  symmetricRankOne (in obj, in x0, in delta0, in eps, in tr) 
Applies SR1 algorithm with trust region to solve where . The parameters of the method are taken from [2] (p. 117). More...  
Algorithm 13.2: SR1 method with trust region region.
Implementation of algorithm 13.2 of [1]
Definition in file symmetricRankOne.m.
function symmetricRankOne  (  in  obj, 
in  x0,  
in  delta0,  
in  eps,  
in  tr  
) 
Applies SR1 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) 