A Simple Alternating Direction Method for the Conic Trust Region Subproblem

Abstract EN

A simple alternating direction method is used to solve the conic trust region subproblem of unconstrained optimization.

By use of the new method, the subproblem is solved by two steps in a descent direction and its orthogonal direction, the original conic trust domain subproblem into a one-dimensional subproblem and a low-dimensional quadratic model subproblem, both of which are very easy to solve.

Then the global convergence of the method under some reasonable conditions is established.

Numerical experiment shows that the new method seems simple and effective.