Yurii Nesterov

Event Details
  • Date/Time:
    • Thursday April 1, 2010
      11:00 am - 12:00 pm
  • Location: Executive classroom
  • Phone:
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  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact

Renato Monteiro, ISyE
Contact Renato Monteiro
404-894-2300

Summaries

Summary Sentence: Efficiency of random search methods on huge-scale optimization problems

Full Summary: In this talk we describe the new methods for solving huge-scale optimization problems. For problems of this size, even the simplest full-dimensional vector operations are very expensive. Hence, we suggest to apply an optimization technique based on random partial update of decision variables. For these methods, we prove the global estimates for the rate of convergence. Surprisingly enough, for certain classes of objective functions, our results are better than the standard worst-case bounds for deterministic algorithms. We present constrained and unconstrained versions of the method, and its accelerated variant. Our numerical test confirms a high efficiency of this technique on problems of very big size.

Speaker

Yurii Nesterov
CORE/INMA, 
Catholic University og Louvain (UCL) Belgium

Abstract

In this talk we describe the new methods for solving huge-scale optimization problems. For problems of this size, even the simplest full-dimensional vector operations are very expensive. Hence, we suggest to apply an optimization technique based on random partial update of decision variables. For these methods, we prove the global estimates for the rate of convergence. Surprisingly enough, for certain classes of objective functions, our results are better than the standard worst-case bounds for deterministic algorithms. We present constrained and unconstrained versions of the method, and its accelerated variant. Our numerical test confirms a high efficiency of this technique on problems of very big size.

The paper can be downloaded as CORE Discussion Paper 2010/2:

http://www.uclouvain.be/en-310431.html

Additional Information

In Campus Calendar
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Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Mike Alberghini
  • Workflow Status: Published
  • Created On: Dec 20, 2012 - 10:44am
  • Last Updated: Oct 7, 2016 - 10:01pm