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Cubic regularization of Newton method and its global performance

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Abstract

In this paper, we provide theoretical analysis for a cubic regularization of Newton method as applied to unconstrained minimization problem. For this scheme, we prove general local convergence results. However, the main contribution of the paper is related to global worst-case complexity bounds for different problem classes including some nonconvex cases. It is shown that the search direction can be computed by standard linear algebra technique.

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Authors and Affiliations

  1. Center for Operations Research and Econometrics (CORE), Catholic University of Louvain (UCL), 34 voie du Roman Pays, 1348, Louvain-la-Neuve, Belgium

    Yurii Nesterov

  2. Institute of Control Science, Profsojuznaya 65, Moscow, 117997, Russia

    B.T. Polyak

Authors
  1. Yurii Nesterov
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  2. B.T. Polyak
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Corresponding author

Correspondence to Yurii Nesterov.

Additional information

The research results presented in this paper have been supported by a grant ``Action de recherche concertè ARC 04/09-315'' from the ``Direction de la recherche scientifique - Communautè française de Belgique''. The scientific responsibility rests with the authors.

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Nesterov, Y., Polyak, B. Cubic regularization of Newton method and its global performance. Math. Program. 108, 177–205 (2006). https://doi.org/10.1007/s10107-006-0706-8

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  • DOI: https://doi.org/10.1007/s10107-006-0706-8

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