trlib: A vector-free implementation of the GLTR method for iterative solution of the trust region problem

Felix Lenders, Christian Kirches, Andreas Potschka

We describe trlib, a library that implements a variant of Gould's Generalized Lanczos method (Gould et al. in SIAM J. Opt. 9(2), 504-525, 1999) for solving the trust region problem…