相关论文: The convergence of the Generalized Lanczos Trust-R…

We introduce a variant of the proximal gradient method in which the quadratic term is diagonal but may be indefinite, and is safeguarded by a trust region. Our method is a special case of the proximal quasi-Newton trust-region method of…

In this contribution we device and analyze improved variants of the non-conforming dual approach for trust-region reduced basis (TR-RB) approximation of PDE-constrained parameter optimization that has recently been introduced in [Keil et…

The trust region method is an algorithm traditionally used in the field of derivative free optimization. The method works by iteratively constructing surrogate models (often linear or quadratic functions) to approximate the true objective…

An outstanding problem when computing a function of a matrix, $f(A)$, by using a Krylov method is to accurately estimate errors when convergence is slow. Apart from the case of the exponential function which has been extensively studied in…

The $p$-regularized subproblem (p-RS) is a regularisation technique in computing a Newton-like step for unconstrained optimization, which globally minimizes a local quadratic approximation of the objective function while incorporating with…

The hybrid LSMR algorithm is proposed for large-scale general-form regularization. It is based on a Krylov subspace projection method where the matrix $A$ is first projected onto a subspace, typically a Krylov subspace, which is implemented…

Sufficient dimension reduction (SDR) provides a framework for reducing the predictor space dimension in regression problems. We consider SDR in the context of deterministic functions of several variables such as those arising in computer…

The ubiquitous Lanczos method can approximate $f(A)x$ for any symmetric $n \times n$ matrix $A$, vector $x$, and function $f$. In exact arithmetic, the method's error after $k$ iterations is bounded by the error of the best degree-$k$…

In this contribution, we present a full overview of the continuous stochastic gradient (CSG) method, including convergence results, step size rules and algorithmic insights. We consider optimization problems in which the objective function…

This paper studies stability and symmetry preserving $H^2$ optimal model reduction problems of linear systems which include linear gradient systems as a special case. The problem is formulated as a nonlinear optimization problem on the…

When the CG method for solving linear algebraic systems was formulated about 70 years ago by Lanczos, Hestenes, and Stiefel, it was considered an iterative process possessing a mathematical finite termination property. CG was placed into a…

This paper presents an efficient algorithm to solve total variation (TV) regularizations of images contaminated by a both blur and noise. The unconstrained structure of the problem suggests that one can solve a constrained optimization…

Proximal policy optimization and trust region policy optimization (PPO and TRPO) with actor and critic parametrized by neural networks achieve significant empirical success in deep reinforcement learning. However, due to nonconvexity, the…

Motivated by TRACE algorithm [Curtis et al. 2017], we propose a trust region algorithm for finding second order stationary points of a linearly constrained non-convex optimization problem. We show the convergence of the proposed algorithm…

This paper addresses the global optimization of the sum of the Rayleigh quotient and the generalized Rayleigh quotient on the unit sphere. While various methods have been proposed for this problem, they fail to reliably converge to the…

Trust-region (TR) and adaptive regularization using cubics (ARC) have proven to have some very appealing theoretical properties for non-convex optimization by concurrently computing function value, gradient, and Hessian matrix to obtain the…

LSQR and its mathematically equivalent CGLS have been popularly used over the decades for large-scale linear discrete ill-posed problems, where the iteration number $k$ plays the role of the regularization parameter. It has been long known…

We study the total least squares (TLS) problem that generalizes least squares regression by allowing measurement errors in both dependent and independent variables. TLS is widely used in applied fields including computer vision, system…

Update formulas for the Hessian approximations in quasi-Newton methods such as BFGS can be derived as analytical solutions to certain nearest-matrix problems. In this article, we propose a similar idea for deriving new limited memory…

Binary trust-region steepest descent (BTR) and combinatorial integral approximation (CIA) are two recently investigated approaches for the solution of optimization problems with distributed binary-/discrete-valued variables (control…