A Trust Region Method for Finding Second-Order Stationarity in Linearly Constrained Non-Convex Optimization
Abstract
Motivated by TRACE algorithm [Curtis et al. 2017], we propose a trust region algorithm for finding second order stationary points of a linearly constrained non-convex optimization problem. We show the convergence of the proposed algorithm to (εg, εH)-second order stationary points in O(εg-3/2, εH-3) iterations. This iteration complexity is achieved for general linearly constrained optimization without cubic regularization of the objective function.
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