Enregistré dans:
| Auteur principal: | |
|---|---|
| Format: | Preprint |
| Publié: |
2022
|
| Sujets: | |
| Accès en ligne: | https://arxiv.org/abs/2210.04579 |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
Table des matières:
- In this article, we introduce a novel concept for second-order information of a nonsmooth function inspired by the Goldstein eps-subdifferential. It comprises the coefficients of all existing second-order Taylor expansions in an eps-ball around a given point. Based on this concept, we define a model of the objective as the maximum of these Taylor expansions, and derive a sampling scheme for its approximation in practice. Minimization of this model induces a simple descent method, for which we show convergence for the case where the objective is convex or of max-type. While we do not prove any rate of convergence of this method, numerical experiments suggest superlinear behavior with respect to the number of oracle calls of the objective.