Article ID: | iaor20113733 |
Volume: | 5 |
Issue: | 2 |
Start Page Number: | 207 |
End Page Number: | 227 |
Publication Date: | May 2011 |
Journal: | Optimization Letters |
Authors: | Apostolopoulou S, Sotiropoulos G, Botsaris A, Pintelas P |
Keywords: | trust regions |
We present a nearly‐exact method for the large scale trust region subproblem (TRS) based on the properties of the minimal‐memory BFGS method. Our study is concentrated in the case where the initial BFGS matrix can be any scaled identity matrix. The proposed method is a variant of the Moré–Sorensen method that exploits the eigenstructure of the approximate Hessian