Papers › A consistently adaptive trust-region method

A consistently adaptive trust-region method

3 Aug 2024arXiv:2408.01874links table onlyarchive 2025-07-28

Fadi Hamad, Oliver Hinder

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Adaptive trust-region methods attempt to maintain strong convergence guarantees without depending on conservative estimates of problem properties such as Lipschitz constants. However, on close inspection, one can show existing adaptive trust-region methods have theoretical guarantees with severely suboptimal dependence on problem properties such as the Lipschitz constant of the Hessian. For example, TRACE developed by Curtis et al. obtains a O(Δ_f L^(3/2) ϵ^(-3/2)) + Õ(1) iteration bound where L is the Lipschitz constant of the Hessian. Compared with the optimal O(Δ_f L^(1/2) ϵ^(-3/2)) bound this is suboptimal with respect to L. We present the first adaptive trust-region method which circumvents this issue and requires at most O( Δ_f L^(1/2) ϵ^(-3/2)) + Õ(1) iterations to find an ϵ-approximate stationary point, matching the optimal iteration bound up to an additive logarithmic term. Our method is a simple variant of a classic trust-region method and in our experiments performs competitively with both ARC and a classical trust-region method.

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