Worst-case evaluation complexity and optimality of second-order methods for nonconvex smooth optimization

TL;DR

This paper analyzes the worst-case evaluation complexity of second-order methods for nonconvex smooth optimization, establishing lower bounds and demonstrating the optimality of certain algorithms while showing Newton's method is suboptimal.

Contribution

It introduces a general class of inexact second-order algorithms, provides lower bounds on their evaluation complexity, and proves the optimality of some methods while highlighting Newton's method's suboptimality.

Findings

Lower bounds on evaluation complexity for second-order methods.

Optimality of cubic and similar methods in the considered class.

Newton's method is shown to be suboptimal in worst-case complexity.

Abstract

We establish or refute the optimality of inexact second-order methods for unconstrained nonconvex optimization from the point of view of worst-case evaluation complexity, improving and generalizing the results of Cartis, Gould and Toint (2010,2011). To this aim, we consider a new general class of inexact second-order algorithms for unconstrained optimization that includes regularization and trust-region variations of Newton's method as well as of their linesearch variants. For each method in this class and arbitrary accuracy threshold $\epsilon \in (0,1)$, we exhibit a smooth objective function with bounded range, whose gradient is globally Lipschitz continuous and whose Hessian is $\alpha-$H\"older continuous (for given $\alpha\in [0,1]$), for which the method in question takes at least $\lfloor\epsilon^{-(2+\alpha)/(1+\alpha)}\rfloor$ function evaluations to generate a first iterate whose gradient is smaller than $\epsilon$ in norm. Moreover, we also construct another function on which Newton's takes $\lfloor\epsilon^{-2}\rfloor$ evaluations, but whose Hessian is Lipschitz continuous on the path of iterates. These examples provide lower bounds on the worst-case evaluation complexity of methods in our class when applied to smooth problems satisfying the relevant assumptions. Furthermore, for $\alpha=1$, this lower bound is of the same order in $\epsilon$ as the upper bound on the worst-case evaluation complexity of the cubic and other methods in a class of methods proposed in Curtis, Robinson and samadi (2017) or in Royer and Wright (2017), thus implying that these methods have optimal worst-case evaluation complexity within a wider class of second-order methods, and that Newton's method is suboptimal.