Convex optimization based on global lower second-order models
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Abstract: In this paper, we present new second-order algorithms for composite convex optimization, called Contracting-domain Newton methods. These algorithms are affine-invariant and based on global second-order lower approximation for the smooth component of the objective. Our approach has an interpretation both as a second-order generalization of the conditional gradient method, or as a variant of trust-region scheme. Under the assumption, that the problem domain is bounded, we prove global rate of convergence in functional residual, where is the iteration counter, minimizing convex functions with Lipschitz continuous Hessian. This significantly improves the previously known bound for this type of algorithms. Additionally, we propose a stochastic extension of our method, and present computational results for solving empirical risk minimization problem.
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