Variants of the A-HPE and large-step A-HPE algorithms for strongly convex problems with applications to accelerated high-order tensor methods

Abstract

For solving strongly convex optimization problems, we propose and study the global convergence of variants of the A-HPE and large-step A-HPE algorithms of Monteiro and Svaiter. We prove linear and the superlinear $\mathcal{O}\left(k^{-k\left(\frac{p-1}{p+1}\right)}\right)$ global rates for the proposed variants of the A-HPE and large-step A-HPE methods, respectively. The parameter $p\ge 2$ appears in the (high-order) large-step condition of the new large-step A-HPE algorithm. We apply our results to high-order tensor methods, obtaning a new inexact (relative-error) tensor method for (smooth) strongly convex optimization with iteration-complexity $\mathcal{O}\left(k^{-k\left(\frac{p-1}{p+1}\right)}\right)$. In particular, for $p=2$, we obtain an inexact Newton-proximal algorithm with fast global $\mathcal{O}\left(k^{-k/3}\right)$ convergence rate.

arXiv commentminor corrections; to appear in optimization methods and software