Computing Optimal Locally Constrained Steps

Abstract

In seeking to solve an unconstrained minimization problem, one often computes steps based on a quadratic approximation q to the objective function. A reasonable way to choose such steps is by minimizing q constrained to a neighborhood of the current iterate. This paper considers ellipsoidal neighborhoods and presents a new way to handle certain computational details when the Hessian of q is indefinite, paying particular attention to a special case which may then arise. The proposed step computing algorithm provides an attractive way to deal with negative curvature. Implementations of this algorithm have proved very satisfactory in the nonlinear least-squares solves NL2SOL.