Incremental Quasi-Newton Algorithms for Solving Nonconvex, Nonsmooth, Finite-Sum Optimization Problems

Authors Gulcin Dinc Yalcin, Frank E. Curtis

Publication date 20 July 2022

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)

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.

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