High probability complexity bounds for adaptive step search based on stochastic oracles

DOI10.1137/22M1512764MaRDI QIDQ6573017zbMATH OpenFDO

Authors Billy Jin, Katya Scheinberg, Miaolan Xie

Publication date 16 July 2024

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

Full work available at URL https://doi.org/10.1137/22M1512764

zbMATH Keywords

complexity boundhigh probabilityline searchnonlinear optimizationstep searchstochastic optimizationstochastic oracles

Mathematics Subject Classification ID

Stochastic programming (90C15) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30)

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Cites work

• A stochastic line search method with expected complexity analysis
• A theoretical and empirical comparison of gradient approximations in derivative-free optimization
• Complexity and global rates of trust-region methods based on probabilistic models
• Global Convergence Rate Analysis of a Generic Line Search Algorithm with Noise
• Global convergence rate analysis of unconstrained optimization methods based on probabilistic models
• High-dimensional probability. An introduction with applications in data science
• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• scientific article; zbMATH DE number 3313108 (Why is no real title available?)
• Introductory lectures on convex optimization. A basic course.
• Optimization methods for large-scale machine learning
• Random gradient-free minimization of convex functions
• Weighted sums of certain dependent random variables

Cited in

(7)

• A sequential quadratic programming method with high-probability complexity bounds for nonlinear equality-constrained stochastic optimization
• A line search framework with restarting for noisy optimization problems
• A stochastic quasi-Newton method in the absence of common random numbers
• Design guidelines for noise-tolerant optimization with applications in robust design
• Stochastic ISTA/FISTA adaptive step search algorithms for convex composite optimization
• A variable dimension sketching strategy for nonlinear least-squares
• A survey of trust-region radius update mechanisms. Part I: First-order analysis

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