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Adaptive cubic regularisation methods for unconstrained optimization. Part I: motivation, convergence and numerical results.

Abstract:

An Adaptive Regularisation algorithm using Cubics (ARC) is proposed for unconstrained optimization, generalizing at the same time an unpublished method due to Griewank (Technical Report NA/12, 1981, DAMTP, University of Cambridge), an algorithm by Nesterov and Polyak (Math Program 108(1):177-205, 2006) and a proposal by Weiser et al. (Optim Methods Softw 22(3):413-431, 2007). At each iteration of our approach, an approximate global minimizer of a local cubic regularisation of the objective fu...

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Publication status:
Published

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Publisher copy:
10.1007/s10107-009-0286-5

Authors


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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Role:
Author
Journal:
Math. Program.
Volume:
127
Issue:
2
Pages:
245-295
Publication date:
2011-01-01
DOI:
EISSN:
1436-4646
ISSN:
0025-5610
URN:
uuid:8356bc59-413c-42ba-946c-af9791e2e8f3
Source identifiers:
400612
Local pid:
pubs:400612

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