Adagrad-like algorithm

An objective-function-free algorithm for nonconvex stochastic optimization with deterministic equality and inequality constraints

  • Serge Gratton
  • Philippe L. Toint
    • Categories Constrained Nonlinear Optimization, Nonlinear Optimization, Stochastic Programming Tags , , , ,

    An algorithm is proposed for solving optimization problems with stochastic objective and deterministic equality and inequality constraints. This algorithm is objective-function-free in the sense that it only uses the objective’s gradient and never evaluates the function value. It is based on an adaptive selection of function-decreasing and constraint-improving iterations, the first ones using an Adagrad-type … Read more

    Objective-Function Free Multi-Objective Optimization: Rate of Convergence and Performance of an Adagrad-like algorithm

  • Marianna De Santis
  • Gabriele Eichfelder
  • Margherita Porcelli
    • Categories Multi-Criteria Optimization, Unconstrained Optimization Tags , ,

    We propose an Adagrad-like algorithm for multi-objective unconstrained optimization that relies on the computation of a common descent direction only. Unlike classical local algorithms for multi-objective optimization, our approach does not rely on the dominance property to accept new iterates, which allows for a flexible and function-free optimization framework. New points are obtained using an … Read more