Second-order optimality and beyond: Characterization and Evaluation Complexity in Convexly Constrained Nonlinear Optimization

Coralia Cartis, Nicholas I M Gould, Philippe Toint

Résultats de recherche: Contribution à un journal/une revueArticle

Résumé

High-order optimality conditions for convexly constrained nonlinear optimization problems are analysed. A corresponding (expensive) measure of criticality for arbitrary order is proposed and extended to define high-order ϵ-approximate critical points. This new measure is then used within a conceptual trust-region algorithm to show that if derivatives of the objective function up to order q≥ 1 can be evaluated and are Lipschitz continuous, then this algorithm applied to the convexly constrained problem needs at most O(ϵ - ( q + 1 )) evaluations of f and its derivatives to compute an ϵ-approximate qth-order critical point. This provides the first evaluation complexity result for critical points of arbitrary order in nonlinear optimization. An example is discussed, showing that the obtained evaluation complexity bounds are essentially sharp.

langue originaleAnglais
Pages (de - à)1073-1107
Nombre de pages35
journalFoundations of Computational Mathematics
Volume18
Numéro de publication5
Les DOIs
étatPublié - 1 oct. 2018

Empreinte digitale

Constrained Optimization
Nonlinear Optimization
Optimality
Derivatives
Critical point
Evaluation
Higher Order
Trust Region Algorithm
Derivative
Order Conditions
Arbitrary
Criticality
Optimality Conditions
Lipschitz
Nonlinear Problem
Objective function
Optimization Problem

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    Second-order optimality and beyond : Characterization and Evaluation Complexity in Convexly Constrained Nonlinear Optimization. / Cartis, Coralia; Gould, Nicholas I M; Toint, Philippe.

    Dans: Foundations of Computational Mathematics, Vol 18, Numéro 5, 01.10.2018, p. 1073-1107.

    Résultats de recherche: Contribution à un journal/une revueArticle

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