Stochastic optimization using a trust-region method and random models
نویسندگان
چکیده
منابع مشابه
Stochastic Optimization Using a Trust-Region Method and Random Models
In this paper, we propose and analyze a trust-region model-based algorithm for solving unconstrained stochastic optimization problems. Our framework utilizes random models of an objective function f(x), obtained from stochastic observations of the function or its gradient. Our method also utilizes estimates of function values to gauge progress that is being made. The convergence analysis relies...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2017
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-017-1141-8