Trust-region radius convergence conjecture for probabilistically fully quadratic models
Trust-region radius convergence conjecture for probabilistically fully quadratic models
Let be a model sequence that is probabilistically -fully quadratic for positive constants , , and . Let be the sequence of random iterates generated by Algorithm~, and let denote its trust-region radii.
Trust-region radius convergence conjecture. Almost surely,
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.
Sources & referencesView supporting material
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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