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Convergence rates of subgradient methods for quasi-convex optimization problems

Author

Listed:
  • Yaohua Hu

    (Shenzhen University)

  • Jiawen Li

    (Shenzhen University)

  • Carisa Kwok Wai Yu

    (The Hang Seng University of Hong Kong)

Abstract

Quasi-convex optimization acts a pivotal part in many fields including economics and finance; the subgradient method is an effective iterative algorithm for solving large-scale quasi-convex optimization problems. In this paper, we investigate the quantitative convergence theory, including the iteration complexity and convergence rates, of various subgradient methods for solving quasi-convex optimization problems in a unified framework. In particular, we consider a sequence satisfying a general (inexact) basic inequality, and investigate the global convergence theorem and the iteration complexity when using the constant, diminishing or dynamic stepsize rules. More importantly, we establish the linear (or sublinear) convergence rates of the sequence under an additional assumption of weak sharp minima of Hölderian order and upper bounded noise. These convergence theorems are applied to establish the iteration complexity and convergence rates of several subgradient methods, including the standard/inexact/conditional subgradient methods, for solving quasi-convex optimization problems under the assumptions of the Hölder condition and/or the weak sharp minima of Hölderian order.

Suggested Citation

  • Yaohua Hu & Jiawen Li & Carisa Kwok Wai Yu, 2020. "Convergence rates of subgradient methods for quasi-convex optimization problems," Computational Optimization and Applications, Springer, vol. 77(1), pages 183-212, September.
    • Handle: RePEc:spr:coopap:v:77:y:2020:i:1:d:10.1007_s10589-020-00194-y
    DOI: 10.1007/s10589-020-00194-y
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    Cited by:

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    2. Xiaoqi Yang & Chenchen Zu, 2022. "Convergence of Inexact Quasisubgradient Methods with Extrapolation," Journal of Optimization Theory and Applications, Springer, vol. 193(1), pages 676-703, June.
    3. Hu, Yaohua & Li, Gongnong & Yu, Carisa Kwok Wai & Yip, Tsz Leung, 2022. "Quasi-convex feasibility problems: Subgradient methods and convergence rates," European Journal of Operational Research, Elsevier, vol. 298(1), pages 45-58.

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