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Implementation of a Trust-Region solver #25
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## main #25 +/- ##
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- Coverage 91.49% 91.30% -0.20%
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Files 8 9 +1
Lines 247 322 +75
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+ Hits 226 294 +68
- Misses 21 28 +7
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src/trustRegion.jl
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| Δ = Δₘₐₓ / 11 # Initial trust region radius. | ||
| η₁ = 0.1 # Threshold for taking a step. | ||
| η₂ = 0.25 # Threshold for shrinking the trust region. | ||
| η₃ = 0.75 # Threshold for expanding the trust region. | ||
| t₁ = 0.25 # Factor to shrink the trust region with. | ||
| t₂ = 2.0 # Factor to expand the trust region with. |
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these should be kwargs in the alg.
src/trustRegion.jl
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| # Compute the ratio of the actual to predicted reduction. | ||
| model = -(δ' * g + 0.5 * δ' * H * δ) | ||
| r = (fₖ - fₖ₊₁) / model |
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This is the same as model \ (fₖ - fₖ₊₁)? \ is much more normal for this kind of thing.
src/trustRegion.jl
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| if r < η₂ | ||
| Δ = t₁ * Δ | ||
| counter += 1 | ||
| if counter > 32 |
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Suggested change
| if counter > 32 | |
| if counter > 32 |
That 32 should be a kwarg in the algorithm.
ChrisRackauckas
approved these changes
Jan 11, 2023
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If you're up for it, it would be nice to add trust regions to the complete Newton method. |
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This is an implementation of a Trust-Region solver.
The
raphson.jlsolver was used as a template.This source was used to some extent.
I'm happy to change things in the code or to document it better, just tell me whats needed :)