
arXiv: 1904.03342
We present a stochastic trust-region model-based framework in which its radius is related to the probabilistic models. Especially, we propose a specific algorithm termed STRME, in which the trust-region radius depends linearly on the gradient used to define the latest model. The complexity results of the STRME method in nonconvex, convex and strongly convex settings are presented, which match those of the existing algorithms based on probabilistic properties. In addition, several numerical experiments are carried out to reveal the benefits of the proposed methods compared to the existing stochastic trust-region methods and other relevant stochastic gradient methods.
Numerical optimization and variational techniques, probabilistic models, Stochastic optimization, stochastic optimization, Global convergence, trust-region methods, global convergence, trust-region radius, Numerical mathematical programming methods, Optimization and Control (math.OC), Trust-region methods, Trust- region radius, FOS: Mathematics, Probabilistic models, Abstract computational complexity for mathematical programming problems, Mathematics - Optimization and Control, 65K05, 65K10, 90C60
Numerical optimization and variational techniques, probabilistic models, Stochastic optimization, stochastic optimization, Global convergence, trust-region methods, global convergence, trust-region radius, Numerical mathematical programming methods, Optimization and Control (math.OC), Trust-region methods, Trust- region radius, FOS: Mathematics, Probabilistic models, Abstract computational complexity for mathematical programming problems, Mathematics - Optimization and Control, 65K05, 65K10, 90C60
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