WIAS Preprint No. 2710, (2020)

On the optimal combination of tensor optimization methods



Authors

  • Kamzolov, Dmitry
  • Gasnikov, Alexander
    ORCID: 0000-0003-1201-2343
  • Dvurechensky, Pavel
    ORCID: 0000-0003-1201-2343

2010 Mathematics Subject Classification

  • 90C30 90C25 68Q25 65K15

Keywords

  • Tensor methods, sliding, uniformly convex function, inexactness, Taylor expansion, complexity

DOI

10.20347/WIAS.PREPRINT.2710

Abstract

We consider the minimization problem of a sum of a number of functions having Lipshitz p -th order derivatives with different Lipschitz constants. In this case, to accelerate optimization, we propose a general framework allowing to obtain near-optimal oracle complexity for each function in the sum separately, meaning, in particular, that the oracle for a function with lower Lipschitz constant is called a smaller number of times. As a building block, we extend the current theory of tensor methods and show how to generalize near-optimal tensor methods to work with inexact tensor step. Further, we investigate the situation when the functions in the sum have Lipschitz derivatives of a different order. For this situation, we propose a generic way to separate the oracle complexity between the parts of the sum. Our method is not optimal, which leads to an open problem of the optimal combination of oracles of a different order.

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