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20162023
most citedIteration Complexity and Finite-Time Efficiency of Adaptive Sampling Trust-Region Methods for Stochastic Derivative-Free Optimization

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math.OC2016

ASTRO-DF: A Class of Adaptive Sampling Trust-Region Algorithms for Derivative-Free Stochastic Optimization

Sara Shashaani, Fatemeh Hashemi, Raghu Pasupathy

We consider unconstrained optimization problems where only "stochastic" estimates of the objective function are observable as replicates from a Monte Carlo oracle. The Monte Carlo…