Updating the regularization parameter in the adaptive cubic regularization algorithm

Authors:
N. I. Gould;M. Porcelli;P. L. Toint
Affiliations:
Computational Science and Engineering Department, Rutherford Appleton Laboratory, Chilton, Oxfordshire, UK OX11 0QX;Namur Center for Complex Systems (NAXYS), FUNDP-University of Namur, Namur, Belgium 5000;Namur Center for Complex Systems (NAXYS), FUNDP-University of Namur, Namur, Belgium 5000
Venue:
Computational Optimization and Applications
Year:
2012

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Abstract

The adaptive cubic regularization method (Cartis et al. in Math. Program. Ser. A 127(2):245---295, 2011; Math. Program. Ser. A. 130(2):295---319, 2011) has been recently proposed for solving unconstrained minimization problems. At each iteration of this method, the objective function is replaced by a cubic approximation which comprises an adaptive regularization parameter whose role is related to the local Lipschitz constant of the objective's Hessian. We present new updating strategies for this parameter based on interpolation techniques, which improve the overall numerical performance of the algorithm. Numerical experiments on large nonlinear least-squares problems are provided.