Derivative-free separable quadratic modeling and cubic regularization for unconstrained optimization

A. L. Custódio (), R. Garmanjani () and M. Raydan ()
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A. L. Custódio: FCT NOVA
R. Garmanjani: FCT NOVA
M. Raydan: FCT NOVA

4OR, 2024, vol. 22, issue 1, No 6, 144 pages

Abstract: Abstract We present a derivative-free separable quadratic modeling and cubic regularization technique for solving smooth unconstrained minimization problems. The derivative-free approach is mainly concerned with building a quadratic model that could be generated by numerical interpolation or using a minimum Frobenius norm approach, when the number of points available does not allow to build a complete quadratic model. This model plays a key role to generate an approximated gradient vector and Hessian matrix of the objective function at every iteration. We add a specialized cubic regularization strategy to minimize the quadratic model at each iteration, that makes use of separability. We discuss convergence results, including worst case complexity, of the proposed schemes to first-order stationary points. Some preliminary numerical results are presented to illustrate the robustness of the specialized separable cubic algorithm.

Keywords: Derivative-free optimization; Fully-linear models; Fully-quadratic models; Cubic regularization; Worst-case complexity; 90C30; 65K05; 90C56; 65D05 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10288-023-00541-9

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