Trust Region Newton With Conjugate Gradient Method
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Date
2018-06-03
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Addis Ababa University
Abstract
In this project we give trust-region algorithms for nonlinear optimization. Trust-region
methods are robust and can be applied to ill-conditioned problems. A conjugate gradient
trust-region algorithm is presented to demonstrate the trust region approaches. Conver-
gence properties of trust-region with conjugate gradient are given. A trust-region method
subproblems for solving unconstrained optimization is proposed. At every iteration, we use
the conjugate gradient method or its variation to solve the subproblems approximately. We
show that this method has the same convergence properties as the trust-region method based
on the conjugate gradient method. Numerical results show that this method is as reliable
and more e cient in respect of iterations and evaluations using MATLAB.
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Keywords
Line Search, Newton Method, Steepest Descent, Conjugate Gradient, Trust- Region