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arXiv 2104.02519math.OCcs.CCcs.NAmath.NA
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噪声对评价复杂性的影响:确定性置信域情形

The Impact of Noise on Evaluation Complexity: The Deterministic Trust-Region Case

Stefania Bellavia, Gianmarco Gurioli, Benedetta Morini, Philippe L. Toint

摘要:

目标函数和导数计算中的固有噪声可能导致优化算法过早终止。考虑到这种情况的评估复杂性界限的框架中提出的确定性置信域方法。结果表明,存在的固有噪声可能会主导这些界限,在与已知的方法,其中函数和导数的评估的不精确性是完全可控的。此外,新的分析提供了估计的最优水平,可实现的,如果噪音导致提前终止。最后,它揭示了一些不精确的计算机算法对评估复杂性的影响。

英文摘要:

Intrinsic noise in objective function and derivatives evaluations may cause premature termination of optimization algorithms. Evaluation complexity bounds taking this situation into account are presented in the framework of a deterministic trust-region method. The results show that the presence of intrinsic noise may dominate these bounds, in contrast with what is known for methods in which the inexactness in function and derivatives' evaluations is fully controllable. Moreover, the new analysis provides estimates of the optimality level achievable, should noise cause early termination. It finally sheds some light on the impact of inexact computer arithmetic on evaluation complexity.

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