Abstract
Majorization–minimization schemes are a broad class of iterative methods targeting general optimization problems, including nonconvex, nonsmooth and stochastic. These algorithms minimize successively a sequence of upper bounds of the objective function so that along the iterations the objective value decreases. We present a stochastic higher-order algorithmic framework for minimizing the average of a very large number of sufficiently smooth functions. Our stochastic framework is based on the notion of stochastic higher-order upper bound approximations of the finite-sum objective function and minibatching. We derive convergence results for nonconvex and convex optimization problems when the higher-order approximation of the objective function yields an error that is p times differentiable and has Lipschitz continuous p derivative. More precisely, for general nonconvex problems we present asymptotic stationary point guarantees and under Kurdyka–Lojasiewicz property we derive local convergence rates ranging from sublinear to linear. For convex problems with uniformly convex objective function, we derive local (super)linear convergence results for our algorithm. Compared to existing stochastic (first-order) methods, our algorithm adapts to the problem's curvature and allows using any batch size. Preliminary numerical tests support the effectiveness of our algorithmic framework.
Disclosure statement
No potential conflict of interest was reported by the author(s).
Notes
1 By Lyapunov function along the sequence generated by SHOM we mean that we evaluate the Lyapunov function
at
.
Additional information
Funding
Notes on contributors
Daniela Lupu
Daniela Lupu is a Ph.D. student at University Politehnica Bucharest, Romania. Her research interests lies in the area of continuous optimization and machine learning with applications in control. She holds B.Sc. (2017) and M.Sc. degrees (2019) from University Politehnica Bucharest.
Ion Necoara
Ion Necoara received an M.Sc. degree (2002) in Optimization and Statistics from University of Bucharest, Romania, and a PhD degree (2006) in Applied Sciences (cum laude) from Delft University of Technology, Netherlands. From 2007 to 2009, he was a research fellow at Katholieke Universiteit Leuven, Belgium. Since 2009 he is with University Politehnica Bucharest, Romania, where he is now full professor. Since 2021 he is also a senior researcher at the Institute of Mathematical Statistics and Applied Mathematics of the Romanian Academy. His research interests cover various topics in developing new optimization algorithms with a focus on mathematical guarantees about their performance.