计算与应用数学拔尖博士生系列论坛——Stochastic Trust-Region Methods with Trust-Region Radius Depending on Probabilistic Models
报告人：Xiaoyu Wang (Academy of Mathematics and Systems Science, Chinese Academy of Sciences)
时间：2019-10-25 12:00-13:10
地点：Room 1493, Sciences Building No. 1
Abatract: 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 latest model gradient. The complexity of STRME method in non-convex, convex and strongly convex settings has all been analyzed, which matches 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.
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