Poster
A consistently adaptive trust-region method
Fadi Hamad · Oliver Hinder
Hall J (level 1) #827
Keywords: [ trust-region method ] [ Optimization ] [ Adaptive ]
Abstract:
Adaptive trust-region methods attempt to maintain strong convergence guarantees without depending on conservative estimates of problem properties such as Lipschitz constants. However, on close inspection, one can show existing adaptive trust-region methods have theoretical guarantees with severely suboptimal dependence on problem properties such as the Lipschitz constant of the Hessian. For example, TRACE developed by Curtis et al. obtains a iteration bound where is the Lipschitz constant of the Hessian. Compared with the optimal bound this is suboptimal with respect to . We present the first adaptive trust-region method which circumvents this issue and requires at most iterations to find an -approximate stationary point, matching the optimal iteration bound up to an additive logarithmic term. Our method is a simple variant of a classic trust-region method and in our experiments performs competitively with both ARC and a classical trust-region method.
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