UNSW Seminar: Lindon Roberts, ANU

Title: Derivative-free optimisation for least-squares problems
Speaker: Lindon Roberts, Australian National University
Date: Thu, 16/04/2020 – 11:05am
Venue: RC-4082, The Red Centre, UNSW (Request for remote connect via Zoom: a.schaeffer (at) unsw.edu.au)
Abstract: Least-squares problems (such as parameter estimation) are ubiquitous across quantitative disciplines. Optimisation algorithms for solving such problems are numerous and well-established. However, in cases where models are computationally expensive, black box, or noisy, classical algorithms can be impractical or even fail. Derivative-free optimisation (DFO) methods provide an alternative approach which can handle these settings. In this talk, Lindon will introduce a derivative-free version of the classical Gauss-Newton method, discuss its theoretical guarantees and software implementation, and describe applications of this technique to parameter estimation of global climate models and image reconstruction.