I am using the trusted region algorithm (from MKL 10.3) to solve a non linear least square problem with boundary constraints. I followed the documentation and the examples that are provided to implement it in my code, and I find some stability issues with this method. Every time I launch my optimization, I get a (slightly) different results, with different termination criteria, and different number of iteration. It seems to me that the algorithm takes a different path for every trial that I make. As far as I know, the TR algorithm is determinist, and when starting from the same initial guess, it should always converge to the same solution. This is at least what I observe in the matlab implementation of this algorithm.
I precise that I am quite confident in my implementation because the residual that I obtain with MKL TR algorithm are consistant with those of matlab.
Does any one of you has an explanation for this puzzling behavior?