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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