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An adaptive cubic regularization algorithm for nonconvex optimization with convex constraints and its function-evaluation complexity | OUP Journals & Magazine | IEEE Xplore

An adaptive cubic regularization algorithm for nonconvex optimization with convex constraints and its function-evaluation complexity

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Abstract:

The adaptive cubic regularization algorithm described in Cartis et al. (2009, Adaptive cubic regularisation methods for unconstrained optimization. Part I: motivation, co...Show More

Abstract:

The adaptive cubic regularization algorithm described in Cartis et al. (2009, Adaptive cubic regularisation methods for unconstrained optimization. Part I: motivation, convergence and numerical results. Math. Program., 127, 245–295; 2010, Adaptive cubic regularisation methods for unconstrained optimization. Part II: worst-case function- and derivative-evaluation complexity [online]. Math. Program., DOI: 10.1007/s10107-009-0337-y) is adapted to the problem of minimizing a nonlinear, possibly nonconvex, smooth objective function over a convex domain. Convergence to first-order critical points is shown under standard assumptions, without any Lipschitz continuity requirement on the objective's Hessian. A worst-case complexity analysis in terms of evaluations of the problem's function and derivatives is also presented for the Lipschitz continuous case and for a variant of the resulting algorithm. This analysis extends the best-known bound for general unconstrained problems to nonlinear problems with convex constraints.
Published in: IMA Journal of Numerical Analysis ( Volume: 32, Issue: 4, October 2012)
Page(s): 1662 - 1695
Date of Publication: October 2012

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