Affine-invariant contracting-point methods for Convex Optimization

Abstract

In this paper, we develop new affine-invariant algorithms for solving composite convex minimization problems with bounded domain. We present a general framework of Contracting-Point methods, which solve at each iteration an auxiliary subproblem restricting the smooth part of the objective function onto contraction of the initial domain. This framework provides us with a systematic way for developing optimization methods of different order, endowed with the global complexity bounds. We show that using an appropriate affine-invariant smoothness condition, it is possible to implement one iteration of the Contracting-Point method by one step of the pure tensor method of degree p≥ 1. The resulting global rate of convergence in functional residual is then O(1 / kp) , where k is the iteration counter. It is important that all constants in our bounds are affine-invariant. For p= 1 , our scheme recovers well-known Frank–Wolfe algorithm, providing it with a new interpretation by a general perspective of tensor methods. Finally, within our framework, we present efficient implementation and total complexity analysis of the inexact second-order scheme (p= 2) , called Contracting Newton method. It can be seen as a proper implementation of the trust-region idea. Preliminary numerical results confirm its good practical performance both in the number of iterations, and in computational time.