Search arXivSearch

arXiv · 2608.18124

TOBYQA: A Time-Augmented Model-Based Method for Derivative-Free Optimization under Noise and Temporal Drift

Abstract

Derivative-free optimization (DFO) is challenging when the observation channel varies over time and evaluations are noisy. Conventional model-based methods assume stationary observations; under temporal drift, historical data biases gradient estimates and acceptance tests confound latent-objective decrease with temporal variation. We propose TOBYQA (Time-augmented Optimization BY Quadratic Approximation), a regularized model-based DFO framework that jointly incorporates spatial geometry and temporal variations within a single saddle-point interpolation system. TOBYQA augments the classical least-Frobenius-norm quadratic interpolation system with a linear-in-time drift term and a ridge regularization on the residual kernel, which accommodates noise and ensures well-posedness when the constraint block has full column rank, relaxing the geometric poisedness requirements of classical interpolation. We prove that under affine temporal drift, the recovered gradient is algebraically invariant to the drift rate for any noise scale and sample radius. This property leads to a drift-compensated acceptance test that subtracts the estimated temporal component from the observed reduction. Driven by an adaptive cubic regularization scheme with a closed-form step and a geometry-guarded statistical stationarity stopping rule, TOBYQA achieves an expected oracle complexity of $O(\varepsilon^{-2})$. Benchmark evaluations across diverse temporal drift regimes show that, at tolerance $τ=10^{-3}$, TOBYQA solves 71.0%, 60.8%, and 41.9% of instances at $n=6$, $10$, and $20$, respectively, compared with 25.1%, 18.5%, and 14.9% for the best-performing comparison method. These results demonstrate higher solve rates under temporal drift while retaining comparable performance in static environments.

Explore related subjects

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Haoyu Yao, Pengcheng Xie. 2026-09-07. TOBYQA: A Time-Augmented Model-Based Method for Derivative-Free Optimization under Noise and Temporal Drift. https://arxiv.org/abs/2608.18124

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

Strategic Inference in Stackelberg Games: Optimal Control for Revealing Adversary Intent

We study a continuous-time stochastic Stackelberg game in which a leader seeks to accomplish a primary objective while inferring a hidden parameter of a rational follower. The follower solves an entropy-regularized linear-quadratic tracking problem and responds to the leader's trajectory with a randomized policy. Anticipating this response, the leader designs informative controls to maximize the estimation efficiency for the follower's latent intent, through maximum likelihood estimation. Unlike prior work on discrete-time or finite-candidate inverse learning, our framework enables continuous parameter inference without prior assumptions and endogenizes the information source through the follower's strategic feedback. We derive semi-explicit solutions, prove well-posedness, and develop recurrent neural network algorithms to approximate the leader's path-dependent control. Numerical experiments demonstrate how the leader balances task performance and information gain, highlighting the practical value of our approach for adversarial strategic inference.

math.OC

Stratification for Nonlinear Semidefinite Programming

This paper introduces a stratification framework for nonlinear semidefinite programming (NLSDP) that reveals and utilizes the geometry behind the nonsmooth KKT system. Based on the index stratification of $\mathbb{S}^n$ and its lift to the primal-dual space, a stratified variational analysis is developed. Specifically, we define the stratum-restricted regularity property, characterize it by the verifiable weak second order condition (W-SOC) and weak strict Robinson constraint qualification (W-SRCQ), and interpret the W-SRCQ geometrically via transversality, with stability along strata. The interactions of these properties across neighboring strata are further examined, leading to the conclusion that classical strong-form regularity conditions correspond to the local uniform validity of stratum-restricted counterparts. On the algorithmic side, a stratified Gauss--Newton method with normal steps and a correction mechanism is proposed for globally solving the KKT equation through a least-squares merit function. We demonstrate that the algorithm converges globally to directional stationary points. Moreover, under the second order sufficient condition (SOSC) and the strict Robinson constraint qualification (SRCQ) at an accumulation point, with a suitable correction threshold, the whole sequence converges superlinearly to this point, which is a KKT pair, and eventually identifies the active stratum. The rate is quadratic if the problem data are additionally of class $LC^2$ near the solution.

math.OC

Convergence Rate Analysis of SOAP with Arbitrary Orthogonal Projection Matrices

In this short note, we establish, for the first time, the convergence rate of SOAP, an efficient and popular matrix-based optimizer for training deep neural networks. Our analysis extends to a more general variant of SOAP that admits arbitrary orthogonal projection matrices and requires only that these matrices be conditionally independent of the current stochastic gradient at each iteration. For example, they may be constructed from information available up to the preceding step.

math.OC