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||Δ is imposed on the size of the solution, and in which the least value of linear combinations of ||Ax-b || and a regularisation term ||x|| 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 G ALAHAD optimization library. © 2009 Springer Science + Business Media B.V.