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A line-search algorithm inspired by the adaptive cubic regularization framework with a worst-case complexity $\mathcal{O}(\epsilon^{-3/2})$

E. Bergou (el-houcine.bergou***at***jouy.inra.fr)
Y. Diouane (youssef.diouane***at***isae.fr)
S. Gratton (serge.gratton***at***enseeiht.fr)

Abstract: Adaptive regularized framework using cubics (ARC) has emerged as an alternative to line-search and trust-region for smooth nonconvex optimization, with an optimal complexity amongst second-order methods. In this paper, we propose and analyze the use of a special (iteration dependent) scaled norm in ARC of the form $\|x\|_M= \sqrt{x^{\top}Mx}$ for $x \in \real^n$, where $M$ is a symmetric positive definite matrix satisfying specific secant equation. Within the proposed norm, ARC behaves as a line-search algorithm along the Newton direction, with a special backtracking strategy and acceptability condition. Under appropriate assumptions, the obtained algorithm enjoys the same convergence and complexity properties as ARC, in particular the complexity for finding an approximate first-order stationary point is $\mathcal{O}(\epsilon^{-3/2})$. Furthermore, using the same scaled norm in the trust-region framework, we have derived a second line-search algorithm. The good potential of the obtained algorithms is showed on a set of large scale optimization problems.

Keywords: Nonlinear optimization, unconstrained optimization, line-search methods, adaptive regularized framework using cubics, trust-region methods, worst-case complexity.

Category 1: Nonlinear Optimization (Unconstrained Optimization )

Citation:

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Entry Submitted: 06/16/2017
Entry Accepted: 06/16/2017
Entry Last Modified: 12/04/2017

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