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Trust Region Newton Methods #116

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ChrisRackauckas opened this Issue Aug 3, 2017 · 4 comments

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ChrisRackauckas commented Aug 3, 2017

Trust region Newton Methods are a mixture of trust region methods and Newton methods that improves the region of convergence while not sacrificing the "good properties" of Newton near a zero. These methods are important when made quasi-Newton because then you don't need to be diligent about having the right Jacobian and can still get good convergence. This means you can reuse the same Jacobian across different related problems and have an increased convergence range over standard quasi-Newton methods.

http://www.numerical.rl.ac.uk/people/nimg/course/lectures/raphael/lectures/lec7slides.pdf
https://www.csie.ntu.edu.tw/~cjlin/papers/logistic.pdf

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KristofferC Aug 3, 2017

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Dogleg is implemented...?

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KristofferC commented Aug 3, 2017

Dogleg is implemented...?

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ChrisRackauckas Aug 3, 2017

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It's not dogleg.

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ChrisRackauckas commented Aug 3, 2017

It's not dogleg.

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KristofferC Aug 3, 2017

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Ok, I just saw that from the first slide :P

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KristofferC commented Aug 3, 2017

Ok, I just saw that from the first slide :P

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KristofferC Aug 3, 2017

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But dogleg should just be pretty much Newton when you are close to the zero which is what you described

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KristofferC commented Aug 3, 2017

But dogleg should just be pretty much Newton when you are close to the zero which is what you described

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