Skip to yearly menu bar Skip to main content


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 O(ΔfL3/2ϵ3/2)+O~(1) iteration bound where L is the Lipschitz constant of the Hessian. Compared with the optimal O(ΔfL1/2ϵ3/2) bound this is suboptimal with respect to L. We present the first adaptive trust-region method which circumvents this issue and requires at most O(ΔfL1/2ϵ3/2)+O~(1) iterations to find an ϵ-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.

Chat is not available.