On the global complexity of a derivative-free Levenberg-Marquardt algorithm via orthogonal spherical smoothing
Numerical Analysis
2024-07-18 v1 Numerical Analysis
Optimization and Control
Abstract
In this paper, we propose a derivative-free Levenberg-Marquardt algorithm for nonlinear least squares problems, where the Jacobian matrices are approximated via orthogonal spherical smoothing. It is shown that the gradient models which use the approximate Jacobian matrices are probabilistically first-order accurate, and the high probability complexity bound of the algorithm is also given.
Keywords
Cite
@article{arxiv.2407.12542,
title = {On the global complexity of a derivative-free Levenberg-Marquardt algorithm via orthogonal spherical smoothing},
author = {Xi Chen and Jinyan Fan},
journal= {arXiv preprint arXiv:2407.12542},
year = {2024}
}