Trust-region and other regularisations of linear least-squares problems
We consider methods for regularising the least-squares solution of the linear system Ax = b. In particular, we propose iterative methods for solving large problems in which a trust-region bound ||x|| <= Delta is imposed on the size of the solution, and in which the least value of linear combinations of ||Ax - b||(q)(2) and a regularisation term ||x||(2)(p) for various p and q = 1, 2 is sought. In each case, one or more "secular" equations are derived, and fast Newton-like solution procedures are suggested. The resulting algorithms are available as part of the GALAHAD optimization library.
trust-region regularisation linear least-squares secular equation