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A trust region algorithm with a worst-case iteration complexity of $$\mathcal{O}(\epsilon ^{-3/2})$$ for nonconvex optimization. (English) Zbl 1360.49020
Summary: We propose a trust region algorithm for solving nonconvex smooth optimization problems. For any $$\overline{\epsilon}\in (0,\infty )$$, the algorithm requires at most $$\mathcal{O}(\epsilon ^{-3/2})$$ iterations, function evaluations, and derivative evaluations to drive the norm of the gradient of the objective function below any $$\epsilon \in (0,\overline{\epsilon}]$$. This improves upon the $$\mathcal{O}(\epsilon ^{-2})$$ bound known to hold for some other trust region algorithms and matches the $$\mathcal{O}(\epsilon^{-3/2})$$ bound for the recently proposed Adaptive Regularisation framework using Cubics, also known as the arc algorithm. Our algorithm, entitled trace, follows a trust region framework, but employs modified step acceptance criteria and a novel trust region update mechanism that allow the algorithm to achieve such a worst-case global complexity bound. Importantly, we prove that our algorithm also attains global and fast local convergence guarantees under similar assumptions as for other trust region algorithms. We also prove a worst-case upper bound on the number of iterations, function evaluations, and derivative evaluations that the algorithm requires to obtain an approximate second-order stationary point.

MSC:
 49M15 Newton-type methods 49M37 Numerical methods based on nonlinear programming 58C15 Implicit function theorems; global Newton methods on manifolds 65K05 Numerical mathematical programming methods 65K10 Numerical optimization and variational techniques 65Y20 Complexity and performance of numerical algorithms 68Q25 Analysis of algorithms and problem complexity 90C30 Nonlinear programming 90C60 Abstract computational complexity for mathematical programming problems
GQTPAR
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References:
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