双边约束最小二乘优化算法

BCLS is a software package for solving bound-constrained least-squares problems of the form.The regularization and linear terms are optional. The vectors and define upper and lower bounds on the variables . Free and fixed variables are easily accomodated by setting corresponding components of and to be and , or by setting them equal to each other. BCLS implements a two-metric projected-descent method. At each iteration, a search direction is computed that is a combination of a Newton and a scaled steepest-descent step. Some notable features of the implementation: The matrix is used only as an operator. The user needs only to provide a routine to compute the matrix-vector produts and The algorithm can take advantage of good starting points, and is capable of making very large changes to the "active-set" at each iteration. The normal equations are never formed. The user may provide perconditioners in order to accelerate the solution of the subproblems.