Trust-region radius convergence conjecture for probabilistically fully quadratic models

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,

limkτk=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.

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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