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Chen, Yiwen

University of British Columbia

Model-based derivative-free optimization (DFO) methods are an important class of DFO methods that are known to struggle with solving high-dimensional optimization problems. Recent research has shown that incorporating random subspaces into model-based DFO methods has the potential to improve their performance on high-dimensional problems. However, most of the current theoretical and practical results are based on linear approximation models due to the complexity of quadratic approximation models. This thesis proposes a random subspace trust-region algorithm based on quadratic approximations. Unlike most of its precursors, this algorithm does not require any special form of objective function. We study the geometry of sample sets, the error bounds for approximations, and the quality of subspaces. In particular, we provide a technique to construct Q-fully quadratic models, which is easy to analyze and implement. We present an almost-sure global convergence result of our algorithm and give an upper bound on the expected number of iterations to find a sufficiently small gradient. We also develop numerical experiments to compare the performance of our algorithm using both linear and quadratic approximation models. The numerical results demonstrate that quadratic models are preferred if the objective function evaluations are inexpensive and quick solutions are needed, and linear models are preferred if the objective function evaluations are expensive.

Text

2024-05-02

Attribution-NonCommercial-NoDerivatives 4.0 International

http://hdl.handle.net/2429/88156

Mathematics

University of British Columbia

UBCO

http://creativecommons.org/licenses/by-nc-nd/4.0/