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)

Full work available at URL https://doi.org/10.1137/22M1524072

zbMATH Keywords

randomized subspace methodsstochastic derivative-free optimizationzeroth-order methods

Mathematics Subject Classification ID

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

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Cited in

(5)

• 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
• Least H^2 norm updating of quadratic interpolation models for derivative-free trust-region algorithms
• A class of sparse Johnson-Lindenstrauss transforms and analysis of their extreme singular values
• An optimally fast objective-function-free minimization algorithm using random subspaces

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