We consider variants of trust-region and cubic regularization methods for nonconvex optimization, in which the Hessian matrix is approximated. Under mild conditions on the inexact Hessian, and using approximate solution of the corresponding sub-problems, we provide iteration complexity to achieve ǫ-approximate second-order optimality which have shown to be tight. Our Hessian approximation conditions constitute a major relaxation over the existing ones in the literature. Consequently, we are able to show that such mild conditions allow for the construction of the approximate Hessian through various random sampling methods. In this light, we consider the canonical problem of finite-sum minimization, provide appropriate uniform and non-uniform sub-sampling strategies to construct such Hessian approximations, and obtain optimal iteration complexity for the corresponding subsampled trust-region and cubic regularization methods.
REF also extended trust-region method to subsampled trust-region method for nonconvex finite-sum optimization.
Newton-Type Methods for Non-Convex Optimization Under Inexact Hessian Information
Mathematical Programming 2019
Mathematics Computer Science