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Adaptive Sampling Quasi-Newton Methods for Derivative-Free Stochastic Optimization

Raghu Bollapragada(raghu.bollapragada***at***utexas.edu)
Stefan M. Wild(wild***at***anl.gov)

Abstract: We consider stochastic zero-order optimization problems, which arise in settings from simulation optimization to reinforcement learning. We propose an adaptive sampling quasi-Newton method where we estimate the gradients of a stochastic function using finite differences within a common random number framework. We employ modified versions of a norm test and an inner product quasi-Newton test to control the sample sizes used in the stochastic approximations. We provide preliminary numerical experiments to illustrate potential performance benefits of the proposed method.

Keywords: Adaptive Sampling, Derivative-Free Optimization, Stochastic Optimization

Category 1: Nonlinear Optimization

Category 2: Stochastic Programming

Category 3: Convex and Nonsmooth Optimization (Convex Optimization )


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Entry Submitted: 10/31/2019
Entry Accepted: 10/31/2019
Entry Last Modified: 10/31/2019

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