Date
Thu, 14 May 2015
Time
14:00 - 15:00
Location
L5
Speaker
Frank Curtis
Organisation
Lehigh University

We present a trust region algorithm for solving nonconvex optimization problems that, in the worst-case, is able to drive the norm of the gradient of the objective below a prescribed threshold $\epsilon > 0$ after at most ${\cal O}(\epsilon^{-3/2})$ function evaluations, gradient evaluations, or iterations.  Our work has been inspired by the recently proposed Adaptive Regularisation framework using Cubics (i.e., the ARC algorithm), which attains the same worst-case complexity bound.  Our algorithm is modeled after a traditional trust region algorithm, but employs modified step acceptance criteria and a novel trust region updating mechanism that allows it to achieve this desirable property.  Importantly, our method also maintains standard global and fast local convergence guarantees.

Please contact us with feedback and comments about this page. Last updated on 04 Apr 2022 14:57.