Di Serafino, Daniela
ORCID: 0000-0001-8215-0771, Krklec Jerinkić, Nataša, Krejić, Nataša
ORCID: 0000-0003-3348-7233 and Viola, Marco
ORCID: 0000-0002-2140-8094
(2022)
LSOS: Line-search second-order stochastic optimization methods for nonconvex finite sums.
Mathematics of Computation (MCOM), 92
(341).
pp. 1273-1299.
ISSN 1088-6842
Abstract
We develop a line-search second-order algorithmic framework for minimizing finite sums. We do not make any convexity assumptions, but require the terms of the sum to be continuously differentiable and have Lipschitz-continuous gradients. The methods fitting into this framework combine line searches and suitably decaying step lengths. A key issue is a two-step sampling at each iteration, which allows us to control the error present in the line-search procedure. Stationarity of limit points is proved in the almost-sure sense, while almost-sure convergence of the sequence of approximations to the solution holds with the additional hypothesis that the functions are strongly convex. Numerical experiments, including comparisons with state-of-the art stochastic optimization methods, show the efficiency of our approach.
Metadata
| Item Type: | Article (Published) |
|---|---|
| Refereed: | Yes |
| Subjects: | Mathematics > Stochastic analysis |
| DCU Faculties and Centres: | DCU Faculties and Schools > Faculty of Science and Health DCU Faculties and Schools > Faculty of Science and Health > School of Mathematical Sciences |
| Publisher: | American Mathematical Society |
| Official URL: | https://pubs.ams.org/journals/mcom/2023-92-341/S00... |
| Copyright Information: | Authors |
| ID Code: | 33311 |
| Deposited On: | 01 Sep 2026 13:07 by Eimear Maher . Last Modified 01 Sep 2026 13:07 |
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