STOCHASTIC TRUST-REGION METHODS WITH TRUST-REGION RADIUS DEPENDING ON PROBABILISTIC MODELS

doi:10.4208/jcm.2012-m2020-0144

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	STOCHASTIC TRUST-REGION METHODS WITH TRUST-REGION RADIUS DEPENDING ON PROBABILISTIC MODELS
	Wang, Xiaoyu 1,2; Yuan, Ya-xiang 3
	2021-09-16
发表期刊	JOURNAL OF COMPUTATIONAL MATHEMATICS
ISSN	0254-9409
页码	41
摘要	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.
关键词	Trust-region methods Stochastic optimization Probabilistic models Trust region radius Global convergence
DOI	10.4208/jcm.2012-m2020-0144
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[11331012] ; National Natural Science Foundation of China[11688101]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000712898300001
出版者	GLOBAL SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/59460
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, Xiaoyu
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Comp Math & Sci Engn Comp, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Beijing 100049, Peoples R China 3.Chinese Acad Sci, State Key Lab Sci Engn Comp, Inst Comp Math & Scient Engn Comp, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Wang, Xiaoyu,Yuan, Ya-xiang. STOCHASTIC TRUST-REGION METHODS WITH TRUST-REGION RADIUS DEPENDING ON PROBABILISTIC MODELS[J]. JOURNAL OF COMPUTATIONAL MATHEMATICS,2021:41.
APA	Wang, Xiaoyu,&Yuan, Ya-xiang.(2021).STOCHASTIC TRUST-REGION METHODS WITH TRUST-REGION RADIUS DEPENDING ON PROBABILISTIC MODELS.JOURNAL OF COMPUTATIONAL MATHEMATICS,41.
MLA	Wang, Xiaoyu,et al."STOCHASTIC TRUST-REGION METHODS WITH TRUST-REGION RADIUS DEPENDING ON PROBABILISTIC MODELS".JOURNAL OF COMPUTATIONAL MATHEMATICS (2021):41.