stochastic analysis

High-order Evaluation Complexity of a Stochastic Adaptive Regularization Algorithm for Nonconvex Optimization Using Inexact Function Evaluations and Randomly Perturbed Derivatives

  • Stefania Bellavia
  • Benedetta Morini
  • Philippe L. Toint
  • Gianmarco Gurioli
    • Categories Bound-constrained Optimization, Constrained Nonlinear Optimization, Unconstrained Optimization Tags , , ,

    A stochastic adaptive regularization algorithm allowing random noise in derivatives and inexact function values is proposed for computing strong approximate minimizers of any order for inexpensively constrained smooth optimization problems. For an objective function with Lipschitz continuous p-th derivative in a convex neighbourhood of the feasible set and given an arbitrary optimality order q, it … Read more