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Adaptive Sampling Trust Region Optimization for Derivative-free Stochastic Functions and Deterministic Equality Constraints
Nicole Felice, Sara Shashaani, Lindon Roberts
We study optimization problems with noisy zeroth-order objective observations and deterministic nonlinear equality constraints with available derivatives. We propose a constrained…
Extrapolation-based Direct Search for Nonsmooth Stochastic Zeroth-Order Optimization
Anthony Palmieri, Francesco Rinaldi, Sara Shashaani
We propose and analyze a stochastic direct-search method for unconstrained zeroth-order minimization of locally Lipschitz, possibly nonsmooth, objectives. The method combines rando…
Adaptive Regularization within Trust Region Methods for Stochastic Nonconvex Optimization
Yunsoo Ha, Sara Shashaani, Quoc Tran-dinh
We propose a stochastic nonconvex optimization algorithm that achieves almost sure iteration complexity for problems with smooth objective functions…
Stratified adaptive sampling for derivative-free stochastic trust-region optimization
Giovanni Amici, Sara Shashaani, Pranav Jain
There is emerging evidence that trust-region (TR) algorithms are very effective at solving derivative-free nonconvex stochastic optimization problems in which the objective functio…
Root Finding and Metamodeling for Rapid and Robust Computer Model Calibration
Yongseok Jeon, Sara Shashaani
We concern computer model calibration problem where the goal is to find the parameters that minimize the discrepancy between the multivariate real-world and computer model outputs.…