Groupe d’études et de recherche en analyse des décisions


Sensitivity of Trust-Region Algorithms on their Parameters

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In this paper, we examine the sensitivity of trust-region algorithms on the param- eters related to the step acceptance and update of the trust region. We show, in the context of unconstrained programming, that the numerical efficiency of these algo- rithms can easily be improved by choosing appropriate parameters. Recommended ranges of values for these parameters are exhibited on the basis of extensive numerical tests.

, 18 pages