Gradient Sampling Methods with Inexact Subproblem Solutions and Gradient Aggregation

arXiv2005.07822MaRDI QIDQ6340807FDOQ6340807

Authors: Frank E. Curtis, Minhan Li 

Publication date: 15 May 2020

Abstract: Gradient sampling (GS) has proved to be an effective methodology for the minimization of objective functions that may be nonconvex and/or nonsmooth. The most computationally expensive component of a contemporary GS method is the need to solve a convex quadratic subproblem in each iteration. In this paper, a strategy is proposed that allows the use of inexact solutions of these subproblems, which, as proved in the paper, can be incorporated without the loss of theoretical convergence guarantees. Numerical experiments show that by exploiting inexact subproblem solutions, one can consistently reduce the computational effort required by a GS method. Additionally, a strategy is proposed for aggregating gradient information after a subproblem is solved (potentially inexactly), as has been exploited in bundle methods for nonsmooth optimization. It is proved that the aggregation scheme can be introduced without the loss of theoretical convergence guarantees. Numerical experiments show that incorporating this gradient aggregation approach substantially reduces the computational effort required by a GS method.

Has companion code repository: https://github.com/frankecurtis/NonOpt

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