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UID:DSC-2893
DTSTART;TZID=Europe/Berlin:20120424T145000
SEQUENCE:1334220127
TRANSP:OPAQUE
DTEND;TZID=Europe/Berlin:20120424T162000
URL:https://www.dresden-science-calendar.de/calendar/de/detail/2893
LOCATION:TUD Willers-Bau\, Zellescher Weg 12-1401069 Dresden
SUMMARY:Krejić: A line search method with variable sample size
CLASS:PUBLIC
DESCRIPTION:Speaker: Prof. Dr. Nataša Krejić\nInstitute of Speaker: Unive
 rsity of Novi Sad\, Faculty of Science\nTopics:\nMathematik\n Location:\n 
  Name: TUD Willers-Bau (WIL C 307)\n  Street: Zellescher Weg 12-14\n  City
 : 01069 Dresden\n  Phone: \n  Fax: \nDescription: Minimization of an uncon
 strained objective function in the form of  mathematical expectation is co
 nsidered. Sample Average Approximation - SAA method transforms  the expect
 ation objective function into a real-valued  deterministic function using 
 large sample in each iteration and thus deal  with deterministic function 
 minimization. The main drawback of this approach is its cost. A large  sam
 ple of the random variable that defines the expectation must be taken in o
 rder to get reasonably good approximation and thus the sample average appr
 oximation method assumes very large number  of functional evaluations.  We
  will present a line search strategy that uses variable sample size and th
 us makes the process significantly cheaper. Two measures of progress - lac
 k of precision and functional decrease are calculated at each iteration. B
 ased on this two measures a new sample size is determined. The rule we wil
 l present allows us to increase or decrease the sample size in each iterat
 ion until we reach some neighborhood of the solution. After that the maxim
 al sample size is used so the variable sample size  strategy generates the
  solution of the same quality as SAA method but with significantly smaller
  number of functional evaluations.  
DTSTAMP:20260817T164106Z
CREATED:20120411T150837Z
LAST-MODIFIED:20120412T084207Z
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