Randomized Algorithm for Nonconvex Minimization with Inexact Evaluations and Complexity Guarantees

Conceitos essenciais

Efficient algorithm for nonconvex minimization with inexact evaluations.

Resumo

The content introduces a randomized algorithm for nonconvex minimization with inexact oracle access to gradient and Hessian. It focuses on achieving approximate second-order optimality without requiring access to the function value. The algorithm incorporates Rademacher randomness in negative curvature steps and allows for gradient and Hessian inexactness. The convergence analysis includes both expectation and high-probability bounds. The algorithm's complexity results show improved gradient sample complexity for empirical risk minimization problems.

Introduction

Seeks local minimizer of a smooth nonconvex function.
Defines approximate second-order point optimality conditions.

Data Extraction

"Our complexity results include both expected and high-probability stopping times for the algorithm."

Prior Work

Discusses approximate second-order points in nonconvex functions.
Compares iteration and operation complexity of different algorithms.

Inexact Derivatives

Examines settings with inexact gradient and Hessian oracles.
Reviews stochastic and general inexact settings.

Notation

Defines Lipschitz continuity and key mathematical notations.

Algorithm and Assumptions

Defines the algorithm and assumptions on function, gradients, and Hessians.
Describes the step types and convergence analysis.

High-Probability Bound

States and proves the main result on the number of iterations for algorithm termination.
Discusses various choices of parameters and their impact on iteration complexity.

Estatísticas

"Our complexity results include both expected and high-probability stopping times for the algorithm."

Citações

"A distinctive feature of our method is that it 'flips a coin' to decide whether to move in a positive or negative sense along a direction of negative curvature for an approximate Hessian."

Principais Insights Extraídos De

A randomized algorithm for nonconvex minimization with inexact evaluations and complexity guarantees

by Shuyao Li,St... às arxiv.org 03-27-2024

https://arxiv.org/pdf/2310.18841.pdf

Perguntas Mais Profundas

How does the algorithm's adaptability contribute to its efficiency

The algorithm's adaptability plays a crucial role in enhancing its efficiency by allowing it to make decisions based on the available information. By incorporating Rademacher randomness in the negative curvature steps, the algorithm can explore different directions effectively, even in the presence of inexact gradient and Hessian information. This adaptability enables the algorithm to navigate the nonconvex landscape more dynamically, potentially leading to faster convergence towards approximate second-order stationary points. Additionally, the ability to choose between gradient descent steps and negative curvature steps based on the current conditions adds a level of flexibility that can improve the algorithm's performance in various scenarios.

What are the implications of allowing for gradient and Hessian inexactness in nonconvex optimization

Allowing for gradient and Hessian inexactness in nonconvex optimization has several implications. Firstly, it broadens the applicability of the algorithm to real-world scenarios where obtaining exact derivatives may be challenging or computationally expensive. By tolerating a certain level of inexactness in the gradient and Hessian evaluations, the algorithm becomes more robust and can handle noisy or imprecise data more effectively. This flexibility can be particularly beneficial in optimization problems where exact derivatives are hard to obtain or where the data is inherently noisy.
Furthermore, by relaxing the requirement for exact gradient and Hessian evaluations, the algorithm can potentially reduce the computational burden associated with optimization tasks. This can lead to faster convergence and more efficient optimization processes, especially in large-scale or complex optimization problems where exact evaluations may be impractical. Overall, allowing for gradient and Hessian inexactness opens up new possibilities for optimizing nonconvex functions in a more practical and scalable manner.

How can the concept of general inexactness be applied to other optimization problems

The concept of general inexactness can be applied to a wide range of optimization problems beyond the specific context discussed in the provided text. In various optimization scenarios, such as machine learning, signal processing, or financial modeling, the availability of exact derivative information may be limited or subject to noise and uncertainties. By considering general inexactness in gradient, Hessian, and function value oracles, optimization algorithms can be designed to handle these uncertainties more effectively.
In machine learning, for example, where stochastic gradient descent is commonly used, incorporating general inexactness considerations can improve the robustness of optimization algorithms to noisy or incomplete data. Similarly, in financial modeling, where market data may be subject to fluctuations and inaccuracies, algorithms that account for general inexactness can provide more reliable optimization results.
Overall, the concept of general inexactness offers a versatile framework for developing optimization algorithms that are resilient to uncertainties and variations in data quality, making them applicable to a wide range of real-world optimization problems.