Algorithms for Smooth Nonconvex Optimization with Worst-case Guarantees
Author | : Michael John O'Neill |
Publisher | : |
Total Pages | : 0 |
Release | : 2020 |
ISBN-10 | : OCLC:1245496225 |
ISBN-13 | : |
Rating | : 4/5 (25 Downloads) |
Download or read book Algorithms for Smooth Nonconvex Optimization with Worst-case Guarantees written by Michael John O'Neill and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The nature of global convergence guarantees for nonconvex optimization algorithms has changed significantly in recent years. New results characterize the maximum computational cost required for algorithms to satisfy approximate optimality conditions, instead of focusing on the limiting behavior of the iterates. In many contexts, such as those arising from machine learning, convergence to approximate second order points is desired. Algorithms designed for these problems must avoid saddle points efficiently to achieve optimal worst-case guarantees. In this dissertation, we develop and analyze a number of nonconvex optimization algorithms. First, we focus on accelerated gradient algorithms and provide results related to the avoidance of "strict saddle points''. In addition, the rate of divergence these accelerated gradient algorithms exhibit when in a neighborhood of strict saddle points is proven. Subsequently, we propose three new algorithms for smooth, nonconvex optimization with worst-case complexity guarantees. The first algorithm is developed for unconstrained optimization and is based on the classical Newton Conjugate Gradient method. This approach is then extended to bound constrained optimization by modifying the primal-log barrier method. Finally, we present a method for a special class of ``strict saddle functions'' which does not require knowledge of the parameters defining the optimization landscape. These algorithms converge to approximate second-order points in the best known computational complexity for their respective problem classes.