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Superfast Second-Order Methods for Unconstrained Convex Optimization

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  • Yurii Nesterov

    (Catholic University of Louvain (UCL))

Abstract

In this paper, we present new second-order methods with convergence rate $$O\left( k^{-4}\right) $$ O k - 4 , where k is the iteration counter. This is faster than the existing lower bound for this type of schemes (Agarwal and Hazan in Proceedings of the 31st conference on learning theory, PMLR, pp. 774–792, 2018; Arjevani and Shiff in Math Program 178(1–2):327–360, 2019), which is $$O\left( k^{-7/2} \right) $$ O k - 7 / 2 . Our progress can be explained by a finer specification of the problem class. The main idea of this approach consists in implementation of the third-order scheme from Nesterov (Math Program 186:157–183, 2021) using the second-order oracle. At each iteration of our method, we solve a nontrivial auxiliary problem by a linearly convergent scheme based on the relative non-degeneracy condition (Bauschke et al. in Math Oper Res 42:330–348, 2016; Lu et al. in SIOPT 28(1):333–354, 2018). During this process, the Hessian of the objective function is computed once, and the gradient is computed $$O\left( \ln {1 \over \epsilon }\right) $$ O ln 1 ϵ times, where $$\epsilon $$ ϵ is the desired accuracy of the solution for our problem.

Suggested Citation

  • Yurii Nesterov, 2021. "Superfast Second-Order Methods for Unconstrained Convex Optimization," Journal of Optimization Theory and Applications, Springer, vol. 191(1), pages 1-30, October.
    • Handle: RePEc:spr:joptap:v:191:y:2021:i:1:d:10.1007_s10957-021-01930-y
    DOI: 10.1007/s10957-021-01930-y
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    References listed on IDEAS

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    1. Haihao Lu & Robert M. Freund & Yurii Nesterov, 2018. "Relatively smooth convex optimization by first-order methods, and applications," LIDAM Reprints CORE 2965, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. NESTEROV Yurii,, 2019. "Inexact basic tensor methods," LIDAM Discussion Papers CORE 2019023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Yurii Nesterov, 2018. "Lectures on Convex Optimization," Springer Optimization and Its Applications, Springer, edition 2, number 978-3-319-91578-4, September.
    4. NESTEROV, Yurii & POLYAK, B.T., 2006. "Cubic regularization of Newton method and its global performance," LIDAM Reprints CORE 1927, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Yurii Nesterov, 2018. "Smooth Convex Optimization," Springer Optimization and Its Applications, in: Lectures on Convex Optimization, edition 2, chapter 0, pages 59-137, Springer.
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    Cited by:

    1. Nesterov, Yurii, 2022. "Quartic Regularity," LIDAM Discussion Papers CORE 2022001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

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