Randomized Hessian estimation and directional search

@inproceedings{Leventhal2008RandomizedHE,
  title={Randomized Hessian estimation and directional search},
  author={D. Leventhal and Adrian S. Lewis},
  year={2008}
}
We explore how randomization can help asymptotic convergence properties of simple directional search-based optimization methods. Specifically, we develop a cheap, iterative randomized Hessian estimation scheme. We then apply this technique and analyze how it enhances a random directional search method. Then, we proceed to develop a conjugate-directional search method that incorporates estimated Hessian information without requiring the direct use of gradients. ∗School of Operations Research and… CONTINUE READING

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