<p>In this work, we propose a method for minimizing non-convex functions with Lipschitz continuous <i>p</i>th-order derivatives, starting from <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\(p \ge 1\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>p</mi> <mo>≥</mo> <mn>1</mn> </mrow> </math></EquationSource> </InlineEquation>. The method, however, only requires derivative information up to order <InlineEquation ID="IEq2"> <EquationSource Format="TEX">\((p-1)\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mo stretchy="false">(</mo> <mi>p</mi> <mo>-</mo> <mn>1</mn> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation>, since the <i>p</i>th-order derivatives are approximated via finite differences. To ensure oracle efficiency, instead of recomputing a finite-difference approximation of the <i>p</i>th-order derivative at every iteration, we attempt to reuse each approximation for <i>m</i> consecutive iterations before recomputing it, with <InlineEquation ID="IEq3"> <EquationSource Format="TEX">\(m \ge 1\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>m</mi> <mo>≥</mo> <mn>1</mn> </mrow> </math></EquationSource> </InlineEquation> as a key parameter. As a result, we obtain an adaptive method of order <InlineEquation ID="IEq4"> <EquationSource Format="TEX">\((p-1)\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mo stretchy="false">(</mo> <mi>p</mi> <mo>-</mo> <mn>1</mn> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation> that requires no more than <InlineEquation ID="IEq5"> <EquationSource Format="TEX">\(\mathcal {O}(\epsilon ^{-\frac{p+1}{p}})\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi mathvariant="script">O</mi> <mo stretchy="false">(</mo> <msup> <mi>ϵ</mi> <mrow> <mo>-</mo> <mfrac> <mrow> <mi>p</mi> <mo>+</mo> <mn>1</mn> </mrow> <mi>p</mi> </mfrac> </mrow> </msup> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation> iterations to find an <InlineEquation ID="IEq6"> <EquationSource Format="TEX">\(\epsilon \)</EquationSource> <EquationSource Format="MATHML"><math> <mi>ϵ</mi> </math></EquationSource> </InlineEquation>-approximate stationary point of the objective function and that, for the choice <InlineEquation ID="IEq7"> <EquationSource Format="TEX">\(m=(p-1)n + 1\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>m</mi> <mo>=</mo> <mo stretchy="false">(</mo> <mi>p</mi> <mo>-</mo> <mn>1</mn> <mo stretchy="false">)</mo> <mi>n</mi> <mo>+</mo> <mn>1</mn> </mrow> </math></EquationSource> </InlineEquation>, where <i>n</i> is the problem dimension, takes no more than <InlineEquation ID="IEq8"> <EquationSource Format="TEX">\(\mathcal {O}(n^{1/p}\epsilon ^{-\frac{p+1}{p}})\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi mathvariant="script">O</mi> <mo stretchy="false">(</mo> <msup> <mi>n</mi> <mrow> <mn>1</mn> <mo stretchy="false">/</mo> <mi>p</mi> </mrow> </msup> <msup> <mi>ϵ</mi> <mrow> <mo>-</mo> <mfrac> <mrow> <mi>p</mi> <mo>+</mo> <mn>1</mn> </mrow> <mi>p</mi> </mfrac> </mrow> </msup> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation> oracle calls of order <InlineEquation ID="IEq9"> <EquationSource Format="TEX">\((p-1)\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mo stretchy="false">(</mo> <mi>p</mi> <mo>-</mo> <mn>1</mn> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation>. This improves previously known bounds for tensor methods with finite-difference approximations in terms of the problem dimension.</p>

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On the complexity of lower-order implementations of higher-order methods

  • Nikita Doikov,
  • Geovani Nunes Grapiglia

摘要

In this work, we propose a method for minimizing non-convex functions with Lipschitz continuous pth-order derivatives, starting from \(p \ge 1\) p 1 . The method, however, only requires derivative information up to order \((p-1)\) ( p - 1 ) , since the pth-order derivatives are approximated via finite differences. To ensure oracle efficiency, instead of recomputing a finite-difference approximation of the pth-order derivative at every iteration, we attempt to reuse each approximation for m consecutive iterations before recomputing it, with \(m \ge 1\) m 1 as a key parameter. As a result, we obtain an adaptive method of order \((p-1)\) ( p - 1 ) that requires no more than \(\mathcal {O}(\epsilon ^{-\frac{p+1}{p}})\) O ( ϵ - p + 1 p ) iterations to find an \(\epsilon \) ϵ -approximate stationary point of the objective function and that, for the choice \(m=(p-1)n + 1\) m = ( p - 1 ) n + 1 , where n is the problem dimension, takes no more than \(\mathcal {O}(n^{1/p}\epsilon ^{-\frac{p+1}{p}})\) O ( n 1 / p ϵ - p + 1 p ) oracle calls of order \((p-1)\) ( p - 1 ) . This improves previously known bounds for tensor methods with finite-difference approximations in terms of the problem dimension.