LSTRS: MATLAB Software for Large-Scale Trust-Region Subproblems and Regularization
Marielba Rojas, Sandra Augusta Santos, Danny C. Sorensen · Technical University of Denmark, DTU Orbit (Technical University of Denmark, DTU) · 2003
A MATLAB 6.0 implementation of the LSTRS method is described. LSTRS was presented in M. Rojas, S.A. Santos and D.C. Sorensen, A new matrixfree method for the large-scale trust-region subproblem, SIAM J. Optim., 11(3):611-646, 2000. LSTRS is designed for large-scale quadratic problems with one norm constraint. The method relies on reformulating the trustregion subproblem as a parameterized eigenvalue problem, and consists of an iterative procedure that nds the optimal value for the parameter. The adjustment of the parameter requires the solution of a large-scale eigenvalue problem at each step. LSTRS relies on matrix-vector products only and