Groupe d’études et de recherche en analyse des décisions

Optimal Newton-type methods for nonconvex smooth optimization

Coralia Cartis University of Edinburgh, Royaume-Uni

We show that the steepest-descent and Newton's methods for unconstrained nonconvex optimization under standard assumptions may both require a number of iterations and function evaluations arbitrarily close to the steepest-descent's global worst-case complexity bound. This shows that the latter upper bound is essentially tight for steepest descent and that Newton's method may be as slow as the steepest-descent method in the worst case. Then the cubic regularization of Newton's method (Griewank (1981), Nesterov & Polyak (2006)) is considered and extended to large-scale problems, while preserving the same order of its improved worst-case complexity (by comparison to that of steepest-descent); this improved worst-case bound is also shown to be essentially tight. We further show that the cubic regularization approach is, in fact, optimal from a worst-case complexity point of view amongst a class of second-order methods. The worst-case problem-evaluation complexity of constrained optimization will also be discussed, time permitting. This is joint work with Nick Gould (Rutherford Appleton Laboratory, UK) and Philippe Toint (Namur University, Belgium).