Incremental Quasi-Newton Algorithms for Solving Nonconvex, Nonsmooth, Finite-Sum Optimization Problems
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Publication:6405530
arXiv2207.09788MaRDI QIDQ6405530FDOQ6405530
Authors: Gulcin Dinc Yalcin, Frank E. Curtis 
Publication date: 20 July 2022
Abstract: Algorithms for solving nonconvex, nonsmooth, finite-sum optimization problems are proposed and tested. In particular, the algorithms are proposed and tested in the context of an optimization problem formulation arising in semi-supervised machine learning. The common feature of all algorithms is that they employ an incremental quasi-Newton (IQN) strategy, specifically an incremental BFGS (IBFGS) strategy. One applies an IBFGS strategy to the problem directly, whereas the others apply an IBFGS strategy to a difference-of-convex reformulation, smoothed approximation, or (strongly) convex local approximation. Experiments show that all IBFGS approaches fare well in practice, and all outperform a state-of-the-art bundle method.
Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Numerical methods based on nonlinear programming (49M37) Methods of quasi-Newton type (90C53)
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