Stochastic trust-region algorithm in random subspaces with convergence and expected complexity analyses

DOI10.1137/22M1524072MaRDI QIDQ6580002FDOQ6580002

Authors: Kwassi Joseph Dzahini, Stefan M. Wild 

Publication date: 29 July 2024

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

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zbMATH Keywords

zeroth-order methodsrandomized subspace methodsstochastic derivative-free optimization

Mathematics Subject Classification ID

Nonlinear programming (90C30) Stochastic programming (90C15) Derivative-free methods and methods using generalized derivatives (90C56)

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Cited In (2)

• Stochastic trust-region and direct-search methods: a weak tail bound condition and reduced sample sizing
• Expected decrease for derivative-free algorithms using random subspaces

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