Minimizing a Quadratic Over a Sphere

  • Authors:
  • William W. Hager

  • Affiliations:
  • -

  • Venue:
  • SIAM Journal on Optimization
  • Year:
  • 2001

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Abstract

A new method, the sequential subspace method (SSM), is developed for the problem of minimizing a quadratic over a sphere. In our scheme, the quadratic is minimized over a subspace which is adjusted in successive iterations to ensure convergence to an optimum. When a sequential quadratic programming iterate is included in the subspace, convergence is locally quadratic. Numerical comparisons with other recent methods are given.