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基于模型的无导数优化的低秩KKT更新及并行翻转机制

Low-Rank KKT Updates and a Parallel Flipping Mechanism for Model-Based Derivative-Free Optimization

Donghan Wu, Pengcheng Xie

arXiv 2607.22538首次发表:更新:

AI 中文总结

该研究针对基于模型的无导数优化中模型维护成本高的问题,利用KKT矩阵结构导出\(\mathcal{O}(n^2)\)的更新公式,集成到并行算法中,经测试在减少模型维护开销和提高成功率方面优于标准求解器。

AI 中文摘要

基于模型的无导数优化依赖二次插值,维持这些模型通常需\(\mathcal{O}(m^3)\)次线性系统求解。研究表明,对于最小Frobenius范数更新模型,相关KKT矩阵有固定内积结构。单点替换和坐标轴翻转操作会对该矩阵产生精确的秩2扰动。据此得出\(\mathcal{O}(n^2)\)的KKT逆更新公式,消除每次迭代的昂贵重构。将更新集成到并行信赖域算法中,测试表明该方法减少了模型维护开销,在严格函数评估预算下成功率更高。

英文摘要

Model-based derivative-free optimization relies on quadratic interpolation, but maintaining these models typically requires $\mathcal{O}(m^3)$ linear system solves. We show that for the least Frobenius norm updating model, the associated KKT matrix possesses a fixed inner-product structure. Both single-point replacements and a proposed coordinate-axis flipping operation induce exact Rank-2 perturbations to this matrix. Using this structure, we derive an $\mathcal{O}(n^2)$ update formula for the KKT inverse, eliminating costly refactorizations at each iteration. We integrate the update into a parallel trust-region algorithm where workers independently flip interpolation axes, refresh local models, and synchronize the best configuration. Tests on 530 benchmark problems show the method reduces model-maintenance overhead and achieves higher success rates under tight function-evaluation budgets compared to standard solvers.

论文原文

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