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LSOS: Line-search second-order stochastic optimization methods for nonconvex finite sums

Di Serafino, Daniela orcid logoORCID: 0000-0001-8215-0771, Krklec Jerinkić, Nataša, Krejić, Nataša orcid logoORCID: 0000-0003-3348-7233 and Viola, Marco orcid logoORCID: 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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