English

Variants of the A-HPE and large-step A-HPE algorithms for strongly convex problems with applications to accelerated high-order tensor methods

Optimization and Control 2021-10-05 v2

Abstract

For solving strongly convex optimization problems, we propose and study the global convergence of variants of the A-HPE and large-step A-HPE algorithms of Monteiro and Svaiter. We prove linear and the superlinear O(kk(p1p+1))\mathcal{O}\left(k^{\,-k\left(\frac{p-1}{p+1}\right)}\right) global rates for the proposed variants of the A-HPE and large-step A-HPE methods, respectively. The parameter p2p\geq 2 appears in the (high-order) large-step condition of the new large-step A-HPE algorithm. We apply our results to high-order tensor methods, obtaning a new inexact (relative-error) tensor method for (smooth) strongly convex optimization with iteration-complexity O(kk(p1p+1))\mathcal{O}\left(k^{\,-k\left(\frac{p-1}{p+1}\right)}\right). In particular, for p=2p=2, we obtain an inexact Newton-proximal algorithm with fast global O(kk/3)\mathcal{O}\left(k^{\,-k/3}\right) convergence rate.

Keywords

Cite

@article{arxiv.2102.02045,
  title  = {Variants of the A-HPE and large-step A-HPE algorithms for strongly convex problems with applications to accelerated high-order tensor methods},
  author = {M. Marques Alves},
  journal= {arXiv preprint arXiv:2102.02045},
  year   = {2021}
}

Comments

minor corrections; to appear in optimization methods and software