Kwassi Joseph Dzahini

Stochastic Trust-Region Algorithm in Random Subspaces with Convergence and Expected Complexity Analyses

2024 · SIAM Journal on Optimization

Here, this work proposes a framework for large-scale stochastic derivative-free optimization (DFO) by introducing STARS, a trust-region method based on iterative minimization in random subspaces. This framework is both an algorithmic and theoretical extension of …