class TrustRegionCG(TrustRegionSolver):
"""
Instantiate a trust-region subproblem solver based on the truncated
conjugate gradient method of Steihaug and Toint. See the :mod:`pcg` module
for more information.
The main difference between this class and the :class:`TrustRegionPCG`
class is that :class:`TrustRegionPCG` only accepts explicit
preconditioners (i.e. in matrix form). This class accepts an implicit
preconditioner, i.e., any callable object.
"""
def __init__(self, g, H, **kwargs):
TrustRegionSolver.__init__(self, g, **kwargs)
self.cgSolver = TruncatedCG(g, H, **kwargs)
self.niter = 0
self.stepNorm = 0.0
self.step = None
self.m = None # Model value at candidate solution
def Solve(self, **kwargs):
"""
Solve trust-region subproblem using the truncated conjugate-gradient
algorithm.
"""
self.cgSolver.Solve(**kwargs)
self.niter = self.cgSolver.niter
self.stepNorm = self.cgSolver.stepNorm
self.step = self.cgSolver.step
# Compute model reduction.
self.m = np.dot(self.g, self.step)
self.m += 0.5 * np.dot(self.step, self.cgSolver.H * self.step)
return
