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There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
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TITLE: Efficiency of random search methods on huge-scale optimization problems
SPEAKER: Yurii Nesterov
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.
