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math.OC2022
Retraction based Direct Search Methods for Derivative Free Riemannian Optimization
Vyacheslav Kungurtsev, Francesco Rinaldi, Damiano Zeffiro
Direct search methods represent a robust and reliable class of algorithms for solving black-box optimization problems. In this paper, we explore the application of those strategies…
math.OC2022
Stochastic trust-region and direct-search methods: A weak tail bound condition and reduced sample sizing
Francesco Rinaldi, Luis Nunes Vicente, Damiano Zeffiro
Using tail bounds, we introduce a new probabilistic condition for function estimation in stochastic derivative-free optimization which leads to a reduction in the number of samples…