Shape-changing trust-region methods using multipoint symmetric secant matrices

Abstract

In this work, we consider methods for large-scale and nonconvex unconstrained optimization. We propose a new trust-region method whose subproblem is defined using a so-called ‘shape-changing’ norm together with densely-initialized multipoint symmetric secant (MSS) matrices to approximate the Hessian. Shape-changing norms and dense initializations have been successfully used in the context of traditional quasi-Newton methods, but have yet to be explored in the case of MSS methods. Numerical results suggest that trust-region methods that use densely-initialized MSS matrices together with shape-changing norms outperform MSS with other trust-region methods.