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

doi:10.4208/jcm.2012-m2020-0144

	STOCHASTIC TRUST-REGION METHODS WITH TRUST-REGION RADIUS DEPENDING ON PROBABILISTIC MODELS
	Wang, Xiaoyu 1,2; Yuan, Ya-xiang 3
刊名	JOURNAL OF COMPUTATIONAL MATHEMATICS
	2021-09-16
页码	41
关键词	Trust-region methods Stochastic optimization Probabilistic models Trust region radius Global convergence
ISSN号	0254-9409
DOI	10.4208/jcm.2012-m2020-0144
英文摘要	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.
资助项目	National Natural Science Foundation of China[11331012] ; National Natural Science Foundation of China[11688101]
WOS研究方向	Mathematics
语种	英语
出版者	GLOBAL SCIENCE PRESS
WOS记录号	WOS:000712898300001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/59459]
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.Univ Chinese Acad Sci, Beijing 100049, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Comp Math & Sci Engn Comp, Beijing 100190, 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.