In this paper, we use Proximal Cubic regularized Newton Methods (PCNM) to optimize the sum of a smooth convex function and a non-smooth convex function, where we use inexact gradient and Hessian, and an inexact subsolver for the cubic regularized second-order subproblem. We propose inexact variants of PCNM and accelerated PCNM respectively, and show that both variants can achieve the same convergence rate as in the exact case, provided that the errors in the inexact gradient, Hessian and subsolver decrease at appropriate rates. Meanwhile, in the online stochastic setting where data comes endlessly, we give the overall complexity of the proposed algorithms and show that they are as competitive as the stochastic gradient descent. Moreover, we give the overall complexity of the proposed algorithms in the finite-sum setting and show that it is as competitive as the state of the art variance reduced algorithms. Finally, we propose an efficient algorithm for the cubic regularized second-order subproblem, which can converge to an enough small neighborhood of the optimal solution in a superlinear rate.
In the nonconvex setting, in order to reduce the high computational cost in optimizing the subproblem and maintain the convergence rate of the exact case at the same time, @cite_9 @cite_7 @cite_19 considered a subsampling strategy to obtain inexact gradient and Hessian, and a termination condition for optimizing , while the conditions of subsampling depend on the further iteration and thus is implementable, and the termination condition is specific to the Lanzcos method @cite_22 . @cite_11 used variance reduction strategy to reduce the complexity of computing the gradient and Hessian, while the complexity to update the variance reduced gradient and Hessian is @math and thus the SVRC method in @cite_11 is only suitable for the problem with small dimension @math . @cite_16 made a considerable progress that the stochastic cubic regularization method in @cite_16 needs @math stochastic gradient and stochastic Hessian-vector product evaluations to find an approximate local minima for general smooth, nonconvex functions, which matches the best known result, while it did not give the analysis of the convex setting. -0.1in
@cite_22 @cite_7 @cite_9 @cite_19 @cite_16 @cite_11
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This paper proposes a stochastic variant of a classic algorithm---the cubic-regularized Newton method [Nesterov and Polyak]. The proposed algorithm efficiently escapes saddle points and finds approximate local minima for general smooth, nonconvex functions in only ˜ O (ϵ−3.5) stochastic gradient and stochastic Hessian-vector product evaluations. The latter can be computed as efficiently as stochastic gradients. This improves upon the ˜ O (ϵ−4) rate of stochastic gradient descent. Our rate matches the best-known result for finding local minima without requiring any delicate acceleration or variance-reduction techniques. In this paper, we generalize the well-known Nesterov's accelerated gradient (AG) method, originally designed for convex smooth optimization, to solve nonconvex and possibly stochastic optimization problems. We demonstrate that by properly specifying the stepsize policy, the AG method exhibits the best known rate of convergence for solving general nonconvex smooth optimization problems by using first-order information, similarly to the gradient descent method. We then consider an important class of composite optimization problems and show that the AG method can solve them uniformly, i.e., by using the same aggressive stepsize policy as in the convex case, even if the problem turns out to be nonconvex. We demonstrate that the AG method exhibits an optimal rate of convergence if the composite problem is convex, and improves the best known rate of convergence if the problem is nonconvex. Based on the AG method, we also present new nonconvex stochastic approximation methods and show that they can improve a few existing rates of convergence for nonconvex stochastic optimization. To the best of our knowledge, this is the first time that the convergence of the AG method has been established for solving nonconvex nonlinear programming in the literature. In this paper, we generalize the well-known Nesterov's accelerated gradient (AG) method, originally designed for convex smooth optimization, to solve nonconvex and possibly stochastic optimization problems. We demonstrate that by properly specifying the stepsize policy, the AG method exhibits the best known rate of convergence for solving general nonconvex smooth optimization problems by using first-order information, similarly to the gradient descent method. We then consider an important class of composite optimization problems and show that the AG method can solve them uniformly, i.e., by using the same aggressive stepsize policy as in the convex case, even if the problem turns out to be nonconvex. We demonstrate that the AG method exhibits an optimal rate of convergence if the composite problem is convex, and improves the best known rate of convergence if the problem is nonconvex. Based on the AG method, we also present new nonconvex stochastic approximation methods and show that they can improve a few existing rates of convergence for nonconvex stochastic optimization. To the best of our knowledge, this is the first time that the convergence of the AG method has been established for solving nonconvex nonlinear programming in the literature. In the paper, we study the stochastic alternating direction method of multipliers (ADMM) for the nonconvex optimizations, and propose three classes of the nonconvex stochastic ADMM with variance reduction, based on different reduced variance stochastic gradients. Specifically, the first class called the nonconvex stochastic variance reduced gradient ADMM (SVRG-ADMM), uses a multi-stage scheme to progressively reduce the variance of stochastic gradients. The second is the nonconvex stochastic average gradient ADMM (SAG-ADMM), which additionally uses the old gradients estimated in the previous iteration. The third called SAGA-ADMM is an extension of the SAG-ADMM method. Moreover, under some mild conditions, we establish the iteration complexity bound of @math of the proposed methods to obtain an @math -stationary solution of the nonconvex optimizations. In particular, we provide a general framework to analyze the iteration complexity of these nonconvex stochastic ADMM methods with variance reduction. Finally, some numerical experiments demonstrate the effectiveness of our methods.