For solving nonconvex equality-constrained optimization problems, a recent Gradient-Eigenstep Algorithm by Goyens et al.~is an iteration-efficient approach, based on minimizing Fletcher's augmented Lagrangian function, for finding an approximate second-order stationary point from an arbitrary starting point. In this paper, the analysis of this algorithm is extended, offering a two-fold contribution. First, it is shown that a local-linear rate of convergence can be obtained by this method if it is initiated sufficiently close to a strong second-order stationary point and employs a sufficiently small step-size parameter and sufficiently large penalty parameter. In this case, the algorithm reduces to a gradient descent algorithm applied to minimize Fletcher's augmented Lagrangian. Second, as a particularly useful application of the first result, it is shown that the Gradient-Eigenstep algorithm can be used as an iteration-efficient subproblem solver in the context of a progressive sampling strategy for solving equality-constrained optimization problems when the objective and constraint functions are defined by large sample averages, ultimately offering an algorithm with an improved worst-case sample complexity when compared to an approach that solves a full-sample problem directly.
This paper proposes a general line-search Newton framework for unconstrained optimization that avoids repeated Hessian regularization by exploiting the Newton direction only when it is well-defined and suitable and provides the first Newton-type algorithm together with a comprehensive convergence analysis for this important class of nonconvex optimization problems.
This work proposes a nonlinear-residual linearized augmented Lagrangian method (NR-LALM) that replaces this subproblem by a regularized Gauss-Newton-type step while retaining the classical multiplier update based on the nonlinear constraint residual.
Benqi Liu, Kangkang Deng, Zichen Wang et al.· 0 citations
We consider a quadratic minmax problem with coupled inner constraints and propose a method to compute a class of stationary points. To motivate the need to compute such stationary points, we first show that they are meaningful, in the sense that they can be locally optimal for our problem under suitable{non-degeneracy} conditions. Then based on a suitable log barrier function, we build an infeasible interior point-type {single loop method} (which does not explicitly distinguish between the outer and inner problem) and prove that a non-degenerate stationary point is an attraction point as the algorithm moves along the designed central path. We show in particular that our method is polynomial in the special case where the inner feasible set of our constrained minmax problem is independent from outer variables. Our numerical experiments, on both synthetic data and a class of min-cost flow problems, showcase the behavior of our method and how it outperforms existing algorithms from the literature in terms of the quality of the computed stationary points.
S. Cipolla, O. Stein, Alain B. Zemkoho· 0 citations
The quadratic optimization-free (QO-free) method is a class of powerful and effective algorithms for solving nonlinearly constrained optimization problems in Euclidean spaces. The aim of the present work is to extend this method to solve optimization problems on manifolds with additional equality and inequality constraints. We first present a specific algorithm in the manifold setting. At each iteration, three linear systems sharing a common linear operator are solved to determine the master search direction. In addition, a higher-order correction direction is obtained by solving a reduced linear least squares subproblem to circumvent the Maratos effect which is assumed not to arise in existing related literature. A Riemannian arc search is then performed within the tangent space of the current iterate to generate the new iterate. Under appropriate assumptions, we establish the global and strong convergence of the proposed method. Moreover, we prove that the unit step size will eventually be accepted by the arc search, upon which the superlinear convergence of the algorithm is established. Finally, numerical results demonstrate that the proposed method is very competitive compared with other existing approaches.
Chunming Tang, Hao He, Wen Huang et al.· 0 citations
We develop a new direct accelerated Newton method for minimizing convex functions with Lipschitz continuous Hessian. The algorithm uses only primal variables and performs just one linear solve per iteration. With a simple predetermined choice of parameters, it achieves the global convergence rate of $O(1/k^3)$ in terms of the functional residual. To the best of our knowledge, this is the first second-order method for this problem class attaining this rate while relying solely on one linear system solve per iteration (without solving auxiliary nonlinear regularized subproblems, such as cubic regularization, performing nonlinear parameter searches, or using dual extragradient corrections). Our method can be implemented in a Hessian-free way, using an inexact linear system solver, while preserving the fast global rate. We further extend our construction to arbitrary geometry through Bregman divergence, and to composite optimization problems.
A minimal-gradient subspace method for unconstrained optimization of SPD quadratics, which attains the highest success count, whereas L-BFGS requires fewer median gradient evaluations and less CPU time.
Oscar Dalmau, Hugo de la, Cruz Cansino· 0 citations