Radial subgradient method

DOI10.1137/17M1122980MaRDI QIDQ4606654zbMATH OpenFDO

Authors Benjamin Grimmer

Publication date 9 March 2018

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.09280

zbMATH Keywords

convex optimizationnon-Lipschitz optimizationsubgradient method

Mathematics Subject Classification ID

Numerical methods for variational inequalities and related problems (65K15) Convex programming (90C25) Methods of reduced gradient type (90C52)

Abstract: We present a subgradient method for minimizing non-smooth, non-Lipschitz convex optimization problems. The only structure assumed is that a strictly feasible point is known. We extend the work of Renegar [5] by taking a different perspective, leading to an algorithm which is conceptually more natural, has notably improved convergence rates, and for which the analysis is surprisingly simple. At each iteration, the algorithm takes a subgradient step and then performs a line search to move radially towards (or away from) the known feasible point. Our convergence results have striking similarities to those of traditional methods that require Lipschitz continuity. Costly orthogonal projections typical of subgradient methods are entirely avoided.

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Cites work

• ``Efficient subgradient methods for general convex optimization
• Foundations of gauge and perspective duality
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• Perspective functions: proximal calculus and applications in high-dimensional statistics

Cited in

(12)

• Target radius methods for nonsmooth convex optimization
• An effective line search for the subgradient method
• Cyclic coordinate descent in the Hölder smooth setting
• Convex optimization by radial search
• Convergence rates for deterministic and stochastic subgradient methods without Lipschitz continuity
• ``Efficient subgradient methods for general convex optimization
• Radial duality. I: Foundations
• Radial duality. II: Applications and algorithms
• A superlinearly convergent subgradient method for sharp semismooth problems
• Optimization on a finer scale: bounded local subgradient variation perspective
• Some primal-dual theory for subgradient methods for strongly convex optimization
• Revisiting subgradient method: complexity and convergence beyond Lipschitz continuity

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