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Inexact basic tensor methods for some classes of convex optimization problems

Author

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  • Nesterov, Yurii

    (Université catholique de Louvain, LIDAM/CORE, Belgium)

Abstract

In this paper, we analyse the Basic Tensor Methods, which use approximate solutions of the auxiliary problems. The quality of this solution is described by the residual in the function value, which must be proportional to ϵp+1p, where p≥ 1 is the order of the method and ϵ is the desired accuracy in the main optimization problem. We analyse in details the auxiliary schemes for the third- and second-order tensor methods. The auxiliary problems for the third-order scheme can be solved very efficiently by a linearly convergent gradient-type method with a preconditioner. The most expensive operation in this process is a preliminary factorization of the Hessian of the objective function. For solving the auxiliary problem for the second order scheme, we suggest two variants of the Fast Gradient Methods with restart, which converge as O(1k6), where k is the iteration counter. Finally, we present the results of the preliminary computational experiments.

Suggested Citation

  • Nesterov, Yurii, 2023. "Inexact basic tensor methods for some classes of convex optimization problems," LIDAM Reprints CORE 3229, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:3229
    DOI: https://doi.org/10.1080/10556788.2020.1854252
    Note: In: Optimization Methods and Software, 2022, vol. 37(3), p. 878-906
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