19 research outputs found

    On the Iteration Complexity of Smoothed Proximal ALM for Nonconvex Optimization Problem with Convex Constraints

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    It is well-known that the lower bound of iteration complexity for solving nonconvex unconstrained optimization problems is Ω(1/ϵ2)\Omega(1/\epsilon^2), which can be achieved by standard gradient descent algorithm when the objective function is smooth. This lower bound still holds for nonconvex constrained problems, while it is still unknown whether a first-order method can achieve this lower bound. In this paper, we show that a simple single-loop first-order algorithm called smoothed proximal augmented Lagrangian method (ALM) can achieve such iteration complexity lower bound. The key technical contribution is a strong local error bound for a general convex constrained problem, which is of independent interest

    A Superlinear Convergence Framework for Kurdyka-{\L}ojasiewicz Optimization

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    This work extends the iterative framework proposed by Attouch et al. (in Math. Program. 137: 91-129, 2013) for minimizing a nonconvex and nonsmooth function Φ\Phi so that the generated sequence possesses a Q-superlinear convergence rate. This framework consists of a monotone decrease condition, a relative error condition and a continuity condition, and the first two conditions both involve a parameter p ⁣>0p\!>0. We justify that any sequence conforming to this framework is globally convergent when Φ\Phi is a Kurdyka-{\L}ojasiewicz (KL) function, and the convergence has a Q-superlinear rate of order pθ(1+p)\frac{p}{\theta(1+p)} when Φ\Phi is a KL function of exponent θ(0,pp+1)\theta\in(0,\frac{p}{p+1}). Then, we illustrate that the iterate sequence generated by an inexact q[2,3]q\in[2,3]-order regularization method for composite optimization problems with a nonconvex and nonsmooth term belongs to this framework, and consequently, first achieve the Q-superlinear convergence rate of order 4/34/3 for an inexact cubic regularization method to solve this class of composite problems with KL property of exponent 1/21/2

    Variance Reduced Random Relaxed Projection Method for Constrained Finite-sum Minimization Problems

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    For many applications in signal processing and machine learning, we are tasked with minimizing a large sum of convex functions subject to a large number of convex constraints. In this paper, we devise a new random projection method (RPM) to efficiently solve this problem. Compared with existing RPMs, our proposed algorithm features two useful algorithmic ideas. First, at each iteration, instead of projecting onto the subset defined by one of the constraints, our algorithm only requires projecting onto a half-space approximation of the subset, which significantly reduces the computational cost as it admits a closed-form formula. Second, to exploit the structure that the objective is a sum, variance reduction is incorporated into our algorithm to further improve the performance. As theoretical contributions, under an error bound condition and other standard assumptions, we prove that the proposed RPM converges to an optimal solution and that both optimality and feasibility gaps vanish at a sublinear rate. We also provide sufficient conditions for the error bound condition to hold. Experiments on a beamforming problem and a robust classification problem are also presented to demonstrate the superiority of our RPM over existing ones

    On the local convergence of the semismooth Newton method for composite optimization

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    Existing superlinear convergence rate of the semismooth Newton method relies on the nonsingularity of the B-Jacobian. This is a strict condition since it implies that the stationary point to seek is isolated. In this paper, we consider a large class of nonlinear equations derived from first-order type methods for solving composite optimization problems. We first present some equivalent characterizations of the invertibility of the associated B-Jacobian, providing easy-to-check criteria for the traditional condition. Secondly, we prove that the strict complementarity and local error bound condition guarantee a local superlinear convergence rate. The analysis consists of two steps: showing local smoothness based on partial smoothness or closedness of the set of nondifferentiable points of the proximal map, and applying the local error bound condition to the locally smooth nonlinear equations. Concrete examples satisfying the required assumptions are presented. The main novelty of the proposed condition is that it also applies to nonisolated stationary points.Comment: 25 page

    An inexact regularized proximal Newton method for nonconvex and nonsmooth optimization

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    This paper focuses on the minimization of a sum of a twice continuously differentiable function ff and a nonsmooth convex function. We propose an inexact regularized proximal Newton method by an approximation of the Hessian 2 ⁣f(x)\nabla^2\!f(x) involving the ϱ\varrhoth power of the KKT residual. For ϱ=0\varrho=0, we demonstrate the global convergence of the iterate sequence for the KL objective function and its RR-linear convergence rate for the KL objective function of exponent 1/21/2. For ϱ(0,1)\varrho\in(0,1), we establish the global convergence of the iterate sequence and its superlinear convergence rate of order q(1 ⁣+ ⁣ϱ)q(1\!+\!\varrho) under an assumption that cluster points satisfy a local H\"{o}lderian local error bound of order q(max(ϱ,11+ϱ),1]q\in(\max(\varrho,\frac{1}{1+\varrho}),1] on the strong stationary point set; and when cluster points satisfy a local error bound of order q>1+ϱq>1+\varrho on the common stationary point set, we also obtain the global convergence of the iterate sequence, and its superlinear convergence rate of order (qϱ)2q\frac{(q-\varrho)^2}{q} if q>2ϱ+1+4ϱ+12q>\frac{2\varrho+1+\sqrt{4\varrho+1}}{2}. A dual semismooth Newton augmented Lagrangian method is developed for seeking an inexact minimizer of subproblem. Numerical comparisons with two state-of-the-art methods on 1\ell_1-regularized Student's tt-regression, group penalized Student's tt-regression, and nonconvex image restoration confirm the efficiency of the proposed method
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