Single Loop Gaussian Homotopy Method for Non-convex OptimizationDownload PDF

Published: 31 Oct 2022, Last Modified: 12 Jan 2023NeurIPS 2022 AcceptReaders: Everyone
Keywords: Gaussian homotopy, Gaussian smoothing, Non-convex optimization, Worst-case iteration complexity, Zeroth-order optimization
Abstract: The Gaussian homotopy (GH) method is a popular approach to finding better stationary points for non-convex optimization problems by gradually reducing a parameter value $t$, which changes the problem to be solved from an almost convex one to the original target one. Existing GH-based methods repeatedly call an iterative optimization solver to find a stationary point every time $t$ is updated, which incurs high computational costs. We propose a novel single loop framework for GH methods (SLGH) that updates the parameter $t$ and the optimization decision variables at the same. Computational complexity analysis is performed on the SLGH algorithm under various situations: either a gradient or gradient-free oracle of a GH function can be obtained for both deterministic and stochastic settings. The convergence rate of SLGH with a tuned hyperparameter becomes consistent with the convergence rate of gradient descent, even though the problem to be solved is gradually changed due to $t$. In numerical experiments, our SLGH algorithms show faster convergence than an existing double loop GH method while outperforming gradient descent-based methods in terms of finding a better solution.
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