Relationships between full-space and subspace quadratic interpolation models and simplex derivatives

Abstract

Quadratic interpolation models and simplex derivatives are fundamental tools in numerical optimization, particularly in derivative-free optimization. When constructed in suitably chosen affine subspaces, these tools have been shown to be especially effective for high-dimensional derivative-free optimization problems, where full-space model construction is often impractical. In this paper, we analyze the relationships between full-space and subspace formulations of these tools. In particular, we derive explicit conversion formulas between full-space and subspace models, including minimum-norm models, minimum Frobenius norm models, least Frobenius norm updating models, as well as models constructed via generalized simplex gradients and Hessians. We show that the full-space and subspace models coincide on the affine subspace and, in general, along directions in the orthogonal complement. Overall, our results provide a theoretical framework for understanding subspace approximation techniques and offer insight into the design and analysis of derivative-free optimization methods.

Yiwen Chen

PhD student in Mathematics

My research interests include derivative-free optimization, numerical optimization, and discrete geometry.