Direct Search Based on Probabilistic Descent in Reduced Spaces

DOI10.1137/22m1488569zbMath1528.90284arXiv2204.01275OpenAlexW4388573921MaRDI QIDQ6071887

Lindon Roberts, C. W. Royer

Publication date: 29 November 2023

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.01275

zbMATH Keywords

derivative-free optimizationdirect-search methodsrandom subspacesprobabilistic properties

Mathematics Subject Classification ID

Abstract computational complexity for mathematical programming problems (90C60) Derivative-free methods and methods using generalized derivatives (90C56) Randomized algorithms (68W20)

Cites Work

• Unnamed Item
• Unnamed Item
• On the optimal order of worst case complexity of direct search
• Sharp nonasymptotic bounds on the norm of random matrices with independent entries
• Worst case complexity of direct search
• Global convergence rate analysis of unconstrained optimization methods based on probabilistic models
• A stochastic subspace approach to gradient-free optimization in high dimensions
• A deterministic algorithm to compute the cosine measure of a finite positive spanning set
• CUTEst: a constrained and unconstrained testing environment with safe threads for mathematical optimization
• Random gradient-free minimization of convex functions
• Direct search based on probabilistic feasible descent for bound and linearly constrained problems
• Trust-Region Methods Without Using Derivatives: Worst Case Complexity and the NonSmooth Case
• On the Oracle Complexity of First-Order and Derivative-Free Algorithms for Smooth Nonconvex Minimization
• Convergence of Trust-Region Methods Based on Probabilistic Models
• Optimal Rates for Zero-Order Convex Optimization: The Power of Two Function Evaluations
• Sparser Johnson-Lindenstrauss Transforms
• Introduction to Derivative-Free Optimization
• Smallest singular value of a random rectangular matrix
• Complexity and global rates of trust-region methods based on probabilistic models
• Derivative-Free and Blackbox Optimization
• Improving the Flexibility and Robustness of Model-based Derivative-free Optimization Solvers
• Stochastic Three Points Method for Unconstrained Smooth Minimization
• A Stochastic Line Search Method with Expected Complexity Analysis
• Derivative-free optimization methods
• Direct Search Based on Probabilistic Descent
• Benchmarking optimization software with performance profiles.
• Scalable subspace methods for derivative-free nonlinear least-squares optimization
• Zeroth-order optimization with orthogonal random directions