Regularization and Trust Regions in Optimization
(Oleg Grodzevich and Henry Wolkowicz)
ABSTRACT:
The trust region subproblem (the minimization of a quadratic
objective subject to one quadratic constraint and denoted TRS)
has many applications in diverse areas, e.g. function minimization,
sequential quadratic programming,
regularization, ridge regression, and discrete optimization.
Recent advances in the theory and
algorithmic development using Lanczos
techniques have allowed TRS to be used to solve large scale
optimization problems.
We provide an overview of these new developments along with the relationships
to Conjugate Gradient methods and regularization.
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