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Proximal quasi-Newton methods for regularized convex optimization with linear and accelerated sublinear convergence rates

Author

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  • Hiva Ghanbari

    (Lehigh University)

  • Katya Scheinberg

    (Lehigh University)

Abstract

A general, inexact, efficient proximal quasi-Newton algorithm for composite optimization problems has been proposed by Scheinberg and Tang (Math Program 160:495–529, 2016) and a sublinear global convergence rate has been established. In this paper, we analyze the global convergence rate of this method, in the both exact and inexact settings, in the case when the objective function is strongly convex. We also investigate a practical variant of this method by establishing a simple stopping criterion for the subproblem optimization. Furthermore, we consider an accelerated variant, based on FISTA of Beck and Teboulle (SIAM 2:183–202, 2009), to the proximal quasi-Newton algorithm. Jiang et al. (SIAM 22:1042–1064, 2012) considered a similar accelerated method, where the convergence rate analysis relies on very strong impractical assumptions on Hessian estimates. We present a modified analysis while relaxing these assumptions and perform a numerical comparison of the accelerated proximal quasi-Newton algorithm and the regular one. Our analysis and computational results show that acceleration may not bring any benefit in the quasi-Newton setting.

Suggested Citation

  • Hiva Ghanbari & Katya Scheinberg, 2018. "Proximal quasi-Newton methods for regularized convex optimization with linear and accelerated sublinear convergence rates," Computational Optimization and Applications, Springer, vol. 69(3), pages 597-627, April.
    • Handle: RePEc:spr:coopap:v:69:y:2018:i:3:d:10.1007_s10589-017-9964-z
    DOI: 10.1007/s10589-017-9964-z
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    References listed on IDEAS

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    1. NESTEROV, Yurii, 2013. "Gradient methods for minimizing composite functions," LIDAM Reprints CORE 2510, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. NESTEROV, Yu., 2005. "Smooth minimization of non-smooth functions," LIDAM Reprints CORE 1819, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    Cited by:

    1. Christian Kanzow & Theresa Lechner, 2021. "Globalized inexact proximal Newton-type methods for nonconvex composite functions," Computational Optimization and Applications, Springer, vol. 78(2), pages 377-410, March.
    2. Ching-pei Lee & Stephen J. Wright, 2019. "Inexact Successive quadratic approximation for regularized optimization," Computational Optimization and Applications, Springer, vol. 72(3), pages 641-674, April.
    3. Tianxiang Liu & Akiko Takeda, 2022. "An inexact successive quadratic approximation method for a class of difference-of-convex optimization problems," Computational Optimization and Applications, Springer, vol. 82(1), pages 141-173, May.
    4. Rujun Jiang & Man-Chung Yue & Zhishuo Zhou, 2021. "An accelerated first-order method with complexity analysis for solving cubic regularization subproblems," Computational Optimization and Applications, Springer, vol. 79(2), pages 471-506, June.
    5. Ching-pei Lee & Stephen J. Wright, 2020. "Inexact Variable Metric Stochastic Block-Coordinate Descent for Regularized Optimization," Journal of Optimization Theory and Applications, Springer, vol. 185(1), pages 151-187, April.

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