Run-and-Inspect Method for nonconvex optimization and global optimality bounds for R-local minimizers

Y Chen, Y Sun, W Yin - Mathematical Programming, 2019 - Springer
Y Chen, Y Sun, W Yin
Mathematical Programming, 2019Springer
Many optimization algorithms converge to stationary points. When the underlying problem is
nonconvex, they may get trapped at local minimizers or stagnate near saddle points. We
propose the Run-and-Inspect Method, which adds an “inspect” phase to existing algorithms
that helps escape from non-global stationary points. It samples a set of points in a radius R
around the current point. When a sample point yields a sufficient decrease in the objective,
we resume an existing algorithm from that point. If no sufficient decrease is found, the current …
Abstract
Many optimization algorithms converge to stationary points. When the underlying problem is nonconvex, they may get trapped at local minimizers or stagnate near saddle points. We propose the Run-and-Inspect Method, which adds an “inspect” phase to existing algorithms that helps escape from non-global stationary points. It samples a set of points in a radius R around the current point. When a sample point yields a sufficient decrease in the objective, we resume an existing algorithm from that point. If no sufficient decrease is found, the current point is called an approximate R-local minimizer. We show that an R-local minimizer is globally optimal, up to a specific error depending on R, if the objective function can be implicitly decomposed into a smooth convex function plus a restricted function that is possibly nonconvex, nonsmooth. Therefore, for such nonconvex objective functions, verifying global optimality is fundamentally easier. For high-dimensional problems, we introduce blockwise inspections to overcome the curse of dimensionality while still maintaining optimality bounds up to a factor equal to the number of blocks. We also present the sample complexities of these methods. When we apply our method to the existing algorithms on a set of artificial and realistic nonconvex problems, we find significantly improved chances of obtaining global minima.
Springer
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