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STOCHASTIC TRUST-REGION METHODS WITH TRUST-REGION RADIUS DEPENDING ON PROBABILISTIC MODELS
Wang, Xiaoyu1,2; Yuan, Ya-xiang3
2021-09-16
Source PublicationJOURNAL OF COMPUTATIONAL MATHEMATICS
ISSN0254-9409
Pages41
AbstractWe 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.
KeywordTrust-region methods Stochastic optimization Probabilistic models Trust region radius Global convergence
DOI10.4208/jcm.2012-m2020-0144
Indexed BySCI
Language英语
Funding ProjectNational Natural Science Foundation of China[11331012] ; National Natural Science Foundation of China[11688101]
WOS Research AreaMathematics
WOS SubjectMathematics, Applied ; Mathematics
WOS IDWOS:000712898300001
PublisherGLOBAL SCIENCE PRESS
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/59460
Collection中国科学院数学与系统科学研究院
Corresponding AuthorWang, Xiaoyu
Affiliation1.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
Recommended Citation
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.
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