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Stochastic Optimization using a Trust-Region Method and Random Models

Ruobing Chen(Ruobing.Chen***at***us.bosch.com)
Matt Menickelly(mjm412***at***lehigh.edu)
Katya Scheinberg(katyas***at***lehigh.edu)

Abstract: 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 on requirements that these models and these estimates are sufficiently accurate with sufficiently high, but fixed, probability. Beyond these conditions, no assumptions are made on how these models and estimates are generated. Under these general conditions we show an almost sure global convergence of the method to a first order stationary point. In the second part of the paper, we present examples of generating sufficiently accurate random models under biased or unbiased noise assumptions. Lastly, we present some computational results showing the benefits of the proposed method compared to existing approaches that are based on sample averaging or stochastic gradients

Keywords: derivative-free optimization, stochastic optimization, trust-region methods, probabilistic models

Category 1: Nonlinear Optimization (Unconstrained Optimization )

Category 2: Stochastic Programming

Citation:

Download: [PDF]

Entry Submitted: 04/15/2015
Entry Accepted: 04/15/2015
Entry Last Modified: 04/15/2015

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