Homogeneous Second-Order Descent Framework: A Fast Alternative to Newton-Type Methods
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arXiv
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| Main Authors: | , , , , , |
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| Format: | Preprint |
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2023
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| _version_ | 1866913829906022400 |
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| author | He, Chang Jiang, Yuntian Zhang, Chuwen Ge, Dongdong Jiang, Bo Ye, Yinyu |
| author_facet | He, Chang Jiang, Yuntian Zhang, Chuwen Ge, Dongdong Jiang, Bo Ye, Yinyu |
| contents | This paper proposes a homogeneous second-order descent framework (HSODF) for nonconvex and convex optimization based on the generalized homogeneous model (GHM). In comparison to the Newton steps, the GHM can be solved by extremal symmetric eigenvalue procedures and thus grant an advantage in ill-conditioned problems. Moreover, GHM extends the ordinary homogeneous model (OHM) (Zhang et al. 2022) to allow adaptiveness in the construction of the aggregated matrix. Consequently, HSODF is able to recover some well-known second-order methods, such as trust-region methods and gradient regularized methods, while maintaining comparable iteration complexity bounds. We also study two specific realizations of HSODF. One is adaptive HSODM, which has a parameter-free $O(ε^{-3/2})$ global complexity bound for nonconvex second-order Lipschitz continuous objective functions. The other one is homotopy HSODM, which is proven to have a global linear rate of convergence without strong convexity. The efficiency of our approach to ill-conditioned and high-dimensional problems is justified by some preliminary numerical results. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2306_17516 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Homogeneous Second-Order Descent Framework: A Fast Alternative to Newton-Type Methods He, Chang Jiang, Yuntian Zhang, Chuwen Ge, Dongdong Jiang, Bo Ye, Yinyu Optimization and Control This paper proposes a homogeneous second-order descent framework (HSODF) for nonconvex and convex optimization based on the generalized homogeneous model (GHM). In comparison to the Newton steps, the GHM can be solved by extremal symmetric eigenvalue procedures and thus grant an advantage in ill-conditioned problems. Moreover, GHM extends the ordinary homogeneous model (OHM) (Zhang et al. 2022) to allow adaptiveness in the construction of the aggregated matrix. Consequently, HSODF is able to recover some well-known second-order methods, such as trust-region methods and gradient regularized methods, while maintaining comparable iteration complexity bounds. We also study two specific realizations of HSODF. One is adaptive HSODM, which has a parameter-free $O(ε^{-3/2})$ global complexity bound for nonconvex second-order Lipschitz continuous objective functions. The other one is homotopy HSODM, which is proven to have a global linear rate of convergence without strong convexity. The efficiency of our approach to ill-conditioned and high-dimensional problems is justified by some preliminary numerical results. |
| title | Homogeneous Second-Order Descent Framework: A Fast Alternative to Newton-Type Methods |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2306.17516 |