Solving the Trust-Region Subproblem using the Lanczos Method
Solving the Trust-Region Subproblem using the Lanczos Method
The approximate minimization of a quadratic function within an ellipsoidal trust region is an important subproblem for many nonlinear programming methods. When the number of variables is large, the most widely used strategy is to trace the path of conjugate gradient iterates either to convergence or until it reaches the …