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- Title
SPIRAL: a superlinearly convergent incremental proximal algorithm for nonconvex finite sum minimization.
- Authors
Behmandpoor, Pourya; Latafat, Puya; Themelis, Andreas; Moonen, Marc; Patrinos, Panagiotis
- Abstract
We introduce SPIRAL, a SuPerlinearly convergent Incremental pRoximal ALgorithm, for solving nonconvex regularized finite sum problems under a relative smoothness assumption. Each iteration of SPIRAL consists of an inner and an outer loop. It combines incremental gradient updates with a linesearch that has the remarkable property of never being triggered asymptotically, leading to superlinear convergence under mild assumptions at the limit point. Simulation results with L-BFGS directions on different convex, nonconvex, and non-Lipschitz differentiable problems show that our algorithm, as well as its adaptive variant, are competitive to the state of the art.
- Subjects
NONSMOOTH optimization
- Publication
Computational Optimization & Applications, 2024, Vol 88, Issue 1, p71
- ISSN
0926-6003
- Publication type
Article
- DOI
10.1007/s10589-023-00550-8