Minimizing Nonsmooth Convex Functions with Variable Accuracy

03/25/2021

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by   Natasa Krejic, et al.

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We consider unconstrained optimization problems with nonsmooth and convex objective function in the form of mathematical expectation. The proposed method approximates the objective function with a sample average function by using different sample size in each iteration. The sample size is chosen in an adaptive manner based on the Inexact Restoration. The method uses line search and assumes descent directions with respect to the current approximate function. We prove the almost sure convergence under the standard assumptions. The convergence rate is also considered and the worst-case complexity of 𝒪 (ε^-2) is proved. Numerical results for two types of problems, machine learning hinge loss and stochastic linear complementarity problems, show the efficiency of the proposed scheme.