Cubic regularization of a Newton scheme and its global performance

In this paper we suggest a cubic regularization for a Newton method as applied to unconstrained minimization problem. For this scheme we prove general convergence results. We analyze the behavior of this scheme on different problem classes, for which we get global and local worst-case complexity bounds. It is shown that the search direction can be computed by a standard linear algebra technique.

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Year of publication:	2003-05
Authors:	NESTEROV, Yurii ; POLYAK, Boris
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	general nonlinear optimization \| unconstrained optimization \| Newton method \| trust-region methods \| global complexity bounds \| global rate of convergence

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Extent:	application/pdf
Series:	CORE Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2003041
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005043586