Convergence of a Randomized Newton Method in Nonconvex Optimization

Abstract

We analyze a stochastic Newton optimization scheme for locating the unique global minimizer of a general nonconvex objective function. The method couples a Newton algorithm to additive Gaussian noise with state-dependent variance. In the bounded domain setting, we prove global almost sure convergence. The proof is based on two features of the algorithm: a nondegenerate exploratory property that ensures entrance into a neighborhood of the minimizer after a finite number of steps, and a decaying-noise property that yields contraction with high probability and prevents infinitely many exits from the neighborhood of the minimum.

10 pages