Modified Shor r-Algorithm
- This is an implementation of a modified version of the Shor's r-algorithm. It was written by James P. Lesage.
- Excerpt from the description of the Shor r-algorithm:
"The r-algorithm [...] can be viewed as a variable metric method that does not satisfy the secant equation. [It] uses space dilation, but in the direction of the difference of two successive gradients (or subgradients, in the nonsmooth case). The r-algorithm's crucial parameter a ranges between 0 and 1: when a = 1, the method reduces to steepest descent, while when a = 0, it reduces to a variant of the conjugate gradient method."
- A full explanation and convergence analysis of the algorithm may be found in this paper.
- Download the m-file for the Shor r-algorithm method directly from the author's website here.