Marielba Rojas : November 13, 2003
LSTRS: Matlab software for large-scale trust-region subproblems and regularization.
Marielba Rojas, Wake Forest University Winston-Salem, North Carolina, USA. Currently visiting CERFACS, Toulouse, France.
Thursday, Nov 13, 3:00 p.m. at CERFACS
Abstract
We describe the features of a Matlab 6 implementation of the method LSTRS from: M. Rojas, S.A. Santos and D.C. Sorensen. A new matrix-free method for the large-scale trust-region subproblem, SIAM J. Optim. 11(3): 611-646, 2000.
LSTRS is designed for solving large-scale quadratic problems with one quadratic constraint, including those arising in the regularization of discrete forms of ill-posed problems. The iterative method LSTRS requires the solution of a large-scale eigenvalue problem at each step. In the software, the eigensolver can be chosen from different methods, or can also be supplied by the user. The Hessian matrix can be provided explicitly, or in the form of a routine for matrix-vector multiplication.
Therefore, the software preserves the matrix-free nature of the algorithm.
We present a brief description of the method, the features of the software, and examples to illustrate its use.
Joint work with: Sandra A. Santos and Danny C. Sorensen
