English

Higher-Order Accelerated Methods for Faster Non-Smooth Optimization

Optimization and Control 2019-06-05 v1 Machine Learning Machine Learning

Abstract

We provide improved convergence rates for various \emph{non-smooth} optimization problems via higher-order accelerated methods. In the case of \ell_\infty regression, we achieves an O(ϵ4/5)O(\epsilon^{-4/5}) iteration complexity, breaking the O(ϵ1)O(\epsilon^{-1}) barrier so far present for previous methods. We arrive at a similar rate for the problem of 1\ell_1-SVM, going beyond what is attainable by first-order methods with prox-oracle access for non-smooth non-strongly convex problems. We further show how to achieve even faster rates by introducing higher-order regularization. Our results rely on recent advances in near-optimal accelerated methods for higher-order smooth convex optimization. In particular, we extend Nesterov's smoothing technique to show that the standard softmax approximation is not only smooth in the usual sense, but also \emph{higher-order} smooth. With this observation in hand, we provide the first example of higher-order acceleration techniques yielding faster rates for \emph{non-smooth} optimization, to the best of our knowledge.

Keywords

Cite

@article{arxiv.1906.01621,
  title  = {Higher-Order Accelerated Methods for Faster Non-Smooth Optimization},
  author = {Brian Bullins and Richard Peng},
  journal= {arXiv preprint arXiv:1906.01621},
  year   = {2019}
}
R2 v1 2026-06-23T09:41:55.963Z