Trust-region radius convergence conjecture for probabilistically fully quadratic models

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Let {Mk}\{M_k\} be a model sequence that is probabilistically (κeh,κeg,κef)(\kappa_{eh},\kappa_{eg},\kappa_{ef})-fully quadratic for positive constants κeh\kappa_{eh}, κeg\kappa_{eg}, and κef\kappa_{ef}. Let {Xk}\{X_k\} be the sequence of random iterates generated by Algorithm~, and let {τk}\{\tau_k\} denote its trust-region radii.

Trust-region radius convergence conjecture. Almost surely,

lim⁡k→∞τk=0.\lim_{k\to\infty}\tau_k=0.

The claim concerns whether the trust-region radius must shrink to zero for the probabilistic trust-region framework. The surrounding discussion explains that the analogous second-order stationarity result for deterministic fully quadratic models had not been extended to probabilistically fully quadratic models because successful iterations, and hence radius increases, are not guaranteed.

References

Primary source

Afonso S. Bandeira, Katya Scheinberg and Luis Nunes Vicente, “Convergence of trust-region methods based on probabilistic models”, arXiv:1304.2808 (2013).

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