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$$\rho$$ ρ -regularization subproblems: strong duality and an eigensolver-based algorithm

Author

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  • Liaoyuan Zeng

    (The Hong Kong Polytechnic University)

  • Ting Kei Pong

    (The Hong Kong Polytechnic University)

Abstract

Trust-region (TR) type method, based on a quadratic model such as the trust-region subproblem (TRS) and p-regularization subproblem (pRS), is arguably one of the most successful methods for unconstrained minimization. In this paper, we study a general regularized subproblem (named $$\rho$$ ρ RS), which covers TRS and pRS as special cases. We derive a strong duality theorem for $$\rho$$ ρ RS, and also its necessary and sufficient optimality condition under general assumptions on the regularization term. We then define the Rendl–Wolkowicz (RW) dual problem of $$\rho$$ ρ RS, which is a maximization problem whose objective function is concave, and differentiable except possibly at two points. It is worth pointing out that our definition is based on an alternative derivation of the RW-dual problem for TRS. Then we propose an eigensolver-based algorithm for solving the RW-dual problem of $$\rho$$ ρ RS. The algorithm is carried out by finding the smallest eigenvalue and its unit eigenvector of a certain matrix in each iteration. Finally, we present numerical results on randomly generated pRS’s, and on a new class of regularized problem that combines TRS and pRS, to illustrate our algorithm.

Suggested Citation

  • Liaoyuan Zeng & Ting Kei Pong, 2022. "$$\rho$$ ρ -regularization subproblems: strong duality and an eigensolver-based algorithm," Computational Optimization and Applications, Springer, vol. 81(2), pages 337-368, March.
    • Handle: RePEc:spr:coopap:v:81:y:2022:i:2:d:10.1007_s10589-021-00341-z
    DOI: 10.1007/s10589-021-00341-z
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    References listed on IDEAS

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    1. Ting Pong & Henry Wolkowicz, 2014. "The generalized trust region subproblem," Computational Optimization and Applications, Springer, vol. 58(2), pages 273-322, June.
    2. NESTEROV, Yurii & POLYAK, B.T., 2006. "Cubic regularization of Newton method and its global performance," LIDAM Reprints CORE 1927, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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