text: Accelerated gradient (AG) methods are breakthroughs in convex optimization, improving the convergence rate of the gradient descent method for optimization with smooth functions. However, the analysis of AG methods for non-convex optimization is still limited. It remains an open question whether AG methods from convex optimization can accelerate the convergence of the gradient descent method for finding local minimum of non-convex optimization problems. This paper provides an affirmative answer to this question. In particular, we analyze two renowned variants of AG methods (namely Polyak's Heavy Ball method and Nesterov's Accelerated Gradient method) for extracting the negative curvature from random noise, which is central to escaping from saddle points. By leveraging the proposed AG methods for extracting the negative curvature, we present a new AG algorithm with double loops for non-convex optimization this is in contrast to a single-loop AG algorithm proposed in a recent manuscript , which directly analyzed the Nesterov's AG method for non-convex optimization and appeared online on November 29, 2017. However, we emphasize that our work is an independent work, which is inspired by our earlier work and is based on a different novel analysis. , which converges to second-order stationary point @math such that @math and @math with @math iteration complexity, improving that of gradient descent method by a factor of @math and matching the best iteration complexity of second-order Hessian-free methods for non-convex optimization.
  @cite_5: In this paper, we generalize the well-known Nesterov's accelerated gradient (AG) method, originally designed for convex smooth optimization, to solve nonconvex and possibly stochastic optimization problems. We demonstrate that by properly specifying the stepsize policy, the AG method exhibits the best known rate of convergence for solving general nonconvex smooth optimization problems by using first-order information, similarly to the gradient descent method. We then consider an important class of composite optimization problems and show that the AG method can solve them uniformly, i.e., by using the same aggressive stepsize policy as in the convex case, even if the problem turns out to be nonconvex. We demonstrate that the AG method exhibits an optimal rate of convergence if the composite problem is convex, and improves the best known rate of convergence if the problem is nonconvex. Based on the AG method, we also present new nonconvex stochastic approximation methods and show that they can improve a few existing rates of convergence for nonconvex stochastic optimization. To the best of our knowledge, this is the first time that the convergence of the AG method has been established for solving nonconvex nonlinear programming in the literature.
  @cite_4: Nonconvex and nonsmooth problems have recently received considerable attention in signal image processing, statistics and machine learning. However, solving the nonconvex and nonsmooth optimization problems remains a big challenge. Accelerated proximal gradient (APG) is an excellent method for convex programming. However, it is still unknown whether the usual APG can ensure the convergence to a critical point in nonconvex programming. In this paper, we extend APG for general nonconvex and nonsmooth programs by introducing a monitor that satisfies the sufficient descent property. Accordingly, we propose a monotone APG and a nonmonotone APG. The latter waives the requirement on monotonic reduction of the objective function and needs less computation in each iteration. To the best of our knowledge, we are the first to provide APG-type algorithms for general nonconvex and nonsmooth problems ensuring that every accumulation point is a critical point, and the convergence rates remain O(1 k2) when the problems are convex, in which k is the number of iterations. Numerical results testify to the advantage of our algorithms in speed.
  @cite_2: An Adaptive Regularisation algorithm using Cubics (ARC) is proposed for unconstrained optimization, generalizing at the same time an unpublished method due to Griewank (Technical Report NA 12, 1981, DAMTP, University of Cambridge), an algorithm by Nesterov and Polyak (Math Program 108(1):177–205, 2006) and a proposal by (Optim Methods Softw 22(3):413–431, 2007). At each iteration of our approach, an approximate global minimizer of a local cubic regularisation of the objective function is determined, and this ensures a significant improvement in the objective so long as the Hessian of the objective is locally Lipschitz continuous. The new method uses an adaptive estimation of the local Lipschitz constant and approximations to the global model-minimizer which remain computationally-viable even for large-scale problems. We show that the excellent global and local convergence properties obtained by Nesterov and Polyak are retained, and sometimes extended to a wider class of problems, by our ARC approach. Preliminary numerical experiments with small-scale test problems from the CUTEr set show encouraging performance of the ARC algorithm when compared to a basic trust-region implementation.
summary: Although there are extensive studies about AG methods for convex optimization, the analysis of AG for non-convex optimization is still limited. @cite_5 analyzed a variant of AG for minimizing non-convex smooth functions. However, its rate of convergence to a critical point is the same as standard GD method. @cite_4 analyzed variants of accelerated proximal gradient (APG) methods for minimizing a family of non-convex functions consisting of a smooth component and a non-smooth component. For general functions in this family, they only proved the asymptotic convergence to a critical point. Asymptotic results with explicit convergence rates are established for functions that satisfy the Kurdyka - Lojasiewicz (KL) property. @cite_2 analyzed two variants of AG methods in a stochastic setting for non-convex optimization under a unified framework. Again, their convergence analysis are only for finding critical points and the convergence rates of the analyzed two AG methods in the stochastic setting is the same as stochastic gradient method.