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Needed: functions for computing an unconstrained and a bound-constrained


From: Joel T.
Subject: Needed: functions for computing an unconstrained and a bound-constrained trust-region step
Date: Mon, 9 Oct 2006 00:48:47 -0700 (PDT)

Hi,

I'm looking functions which compute a trust region
step.

The first computes an unconstrained step, i.e. given:
H: size( H ) = n * n and H is symmetric,
g: size( g ) = n * 1
and
del > 1 ( scalar ),
compute
dx : min{ 0.5* dx'*H*dx + g'*dx }, ||dx||_2 <= del .

The second computes dx subject to bounds, i.e. given
two vectors of upper and lower bounds, xU and xL,
resp., compute dx as above s.t.
xL_i <= dx_i <= xU_i
where the subscripts indicate the ith vector
component.

Thank you,
Yoel.

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