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

DOI10.1137/22M1524072MaRDI QIDQ6580002zbMATH OpenFDO

Authors Kwassi Joseph Dzahini, Stefan M. Wild

Publication date 29 July 2024

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

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)

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

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