Gardado en:
| Main Authors: | , |
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| Formato: | Preprint |
| Publicado: |
2020
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| Subjects: | |
| Acceso en liña: | https://arxiv.org/abs/2002.08907 |
| Tags: |
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Table of Contents:
- Constrained second-order convex optimization algorithms are the method of choice when a high accuracy solution to a problem is needed, due to their local quadratic convergence. These algorithms require the solution of a constrained quadratic subproblem at every iteration. We present the \emph{Second-Order Conditional Gradient Sliding} (SOCGS) algorithm, which uses a projection-free algorithm to solve the constrained quadratic subproblems inexactly. When the feasible region is a polytope the algorithm converges quadratically in primal gap after a finite number of linearly convergent iterations. Once in the quadratic regime the SOCGS algorithm requires $\mathcal{O}(\log(\log 1/\varepsilon))$ first-order and Hessian oracle calls and $\mathcal{O}(\log (1/\varepsilon) \log(\log1/\varepsilon))$ linear minimization oracle calls to achieve an $\varepsilon$-optimal solution. This algorithm is useful when the feasible region can only be accessed efficiently through a linear optimization oracle, and computing first-order information of the function, although possible, is costly.