The Impact of Noise on Evaluation Complexity: The Deterministic Trust-Region Case

Intrinsic noise in objective function and derivatives evaluations may cause premature termination of optimization algorithms. Evaluation complexity bounds taking this situation into account are presented in the framework of a deterministic trust-region method. The results show that the presence of intrinsic noise may dominate these bounds, in contrast with what is known for methods in which the inexactness in function and derivatives’ evaluations is fully controllable. Moreover, the new analysis provides estimates of the optimality level achievable, should noise cause early termination. Numerical experiments are reported that support the theory. The analysis finally sheds some light on the impact of inexact computer arithmetic on evaluation complexity.