<p>Nonlinear optimization methods are typically iterative and make use of gradient information to determine a direction of improvement and function information to effectively check for progress. When this information is corrupted by noise, designing a convergent and practical algorithmic process becomes challenging, as care must be taken to avoid taking bad steps due to erroneous information. For this reason, simple gradient-based schemes have been quite popular, despite being outperformed by more advanced techniques in the noiseless setting. In this paper, we propose a general algorithmic framework based on line search that is endowed with iteration and evaluation complexity guarantees even in a noisy setting. These guarantees are obtained as a result of a restarting condition, that monitors desirable properties for the steps taken at each iteration and can be checked even in the presence of noise. Experiments using a nonlinear conjugate gradient variant and a quasi-Newton variant illustrate that restarting can be performed without compromising practical efficiency and robustness.</p>

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A line search framework with restarting for noisy optimization problems

  • Albert S. Berahas,
  • Michael J. O’Neill,
  • Clément W. Royer

摘要

Nonlinear optimization methods are typically iterative and make use of gradient information to determine a direction of improvement and function information to effectively check for progress. When this information is corrupted by noise, designing a convergent and practical algorithmic process becomes challenging, as care must be taken to avoid taking bad steps due to erroneous information. For this reason, simple gradient-based schemes have been quite popular, despite being outperformed by more advanced techniques in the noiseless setting. In this paper, we propose a general algorithmic framework based on line search that is endowed with iteration and evaluation complexity guarantees even in a noisy setting. These guarantees are obtained as a result of a restarting condition, that monitors desirable properties for the steps taken at each iteration and can be checked even in the presence of noise. Experiments using a nonlinear conjugate gradient variant and a quasi-Newton variant illustrate that restarting can be performed without compromising practical efficiency and robustness.