A superlinearly convergent subgradient method for sharp semismooth problems

Authors Vasileios Charisopoulos, Damek Shea Davis

Publication date 12 January 2022

Has companion code repository https://github.com/cor-opt/superpolyak.jl

Numerical mathematical programming methods (65K05) Numerical optimization and variational techniques (65K10) Large-scale problems in mathematical programming (90C06) Nonlinear programming (90C30)

Abstract: Subgradient methods comprise a fundamental class of nonsmooth optimization algorithms. Classical results show that certain subgradient methods converge sublinearly for general Lipschitz convex functions and converge linearly for convex functions that grow sharply away from solutions. Recent work has moreover extended these results to certain nonconvex problems. In this work we seek to improve the complexity of these algorithms, asking: is it possible to design a superlinearly convergent subgradient method? We provide a positive answer to this question for a broad class of sharp semismooth functions.

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