<p>In this paper, we propose an inexact proximal Newton-type method for nonconvex composite problems. We establish the global convergence rate of the order <InlineEquation ID="IEq1"> <InlineMediaObject> <ImageObject Color="BlackWhite" FileRef="10915_2025_2805_Article_IEq1.gif" Format="GIF" Height="21" Rendition="HTML" Resolution="72" Type="Linedraw" Width="65" /> </InlineMediaObject> <EquationSource Format="TEX">\(\mathcal {O}(k^{-1/2})\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi mathvariant="script">O</mi> <mo stretchy="false">(</mo> <msup> <mi>k</mi> <mrow> <mo>-</mo> <mn>1</mn> <mo stretchy="false">/</mo> <mn>2</mn> </mrow> </msup> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation> in terms of the minimal norm of the KKT residual mapping and the local superlinear convergence rate in terms of the sequence generated by the proposed algorithm under the higher-order metric <InlineEquation ID="IEq2"> <InlineMediaObject> <ImageObject Color="BlackWhite" FileRef="10915_2025_2805_Article_IEq2.gif" Format="GIF" Height="12" Rendition="HTML" Resolution="72" Type="Linedraw" Width="12" /> </InlineMediaObject> <EquationSource Format="TEX">\(q\)</EquationSource> <EquationSource Format="MATHML"><math> <mi>q</mi> </math></EquationSource> </InlineEquation>-subregularity property. When the Lipschitz constant of the corresponding gradient is known, we show that the proposed algorithm is well-defined without line search. Extensive numerical experiments on the <InlineEquation ID="IEq3"> <InlineMediaObject> <ImageObject Color="BlackWhite" FileRef="10915_2025_2805_Article_IEq3.gif" Format="GIF" Height="16" Rendition="HTML" Resolution="72" Type="Linedraw" Width="15" /> </InlineMediaObject> <EquationSource Format="TEX">\({\ell }_1\)</EquationSource> <EquationSource Format="MATHML"><math> <msub> <mi>ℓ</mi> <mn>1</mn> </msub> </math></EquationSource> </InlineEquation>-regularized Student’s <i>t</i>-regression and the group penalized Student’s <i>t</i>-regression show that the performance of the proposed method is comparable to the state-of-the-art proximal Newton-type methods.</p>

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An Inexact Proximal Newton Method for Nonconvex Composite Minimization

  • Hong Zhu

摘要

In this paper, we propose an inexact proximal Newton-type method for nonconvex composite problems. We establish the global convergence rate of the order \(\mathcal {O}(k^{-1/2})\) O ( k - 1 / 2 ) in terms of the minimal norm of the KKT residual mapping and the local superlinear convergence rate in terms of the sequence generated by the proposed algorithm under the higher-order metric \(q\) q -subregularity property. When the Lipschitz constant of the corresponding gradient is known, we show that the proposed algorithm is well-defined without line search. Extensive numerical experiments on the \({\ell }_1\) 1 -regularized Student’s t-regression and the group penalized Student’s t-regression show that the performance of the proposed method is comparable to the state-of-the-art proximal Newton-type methods.