Optimization on a Finer Scale: Bounded Local Subgradient Variation Perspective
<|reference_start|>Optimization on a Finer Scale: Bounded Local Subgradient Variation Perspective: We initiate the study of nonsmooth optimization problems under bounded local subgradient variation, which postulates bounded difference between (sub)gradients in small local regions around points, in either average or maximum sense. The resulting class of objective functions encapsulates the classes of objective functions traditionally studied in optimization, which are defined based on either Lipschitz continuity of the objective or H\"{o}lder/Lipschitz continuity of its gradient. Further, the defined class contains functions that are neither Lipschitz continuous nor have a H\"{o}lder continuous gradient. When restricted to the traditional classes of optimization problems, the parameters defining the studied classes lead to more fine-grained complexity bounds, recovering traditional oracle complexity bounds in the worst case but generally leading to lower oracle complexity for functions that are not ``worst case.'' Some highlights of our results are that: (i) it is possible to obtain complexity results for both convex and nonconvex problems with the (local or global) Lipschitz constant being replaced by a constant of local subgradient variation and (ii) mean width of the subdifferential set around the optima plays a role in the complexity of nonsmooth optimization, particularly in parallel settings. A consequence of (ii) is that for any error parameter $\epsilon > 0$, parallel oracle complexity of nonsmooth Lipschitz convex optimization is lower than its sequential oracle complexity by a factor $\tilde{\Omega}\big(\frac{1}{\epsilon}\big)$ whenever the objective function is piecewise linear with polynomially many pieces in the input size. This is particularly surprising as existing parallel complexity lower bounds are based on such classes of functions. The seeming contradiction is resolved by considering the region in which the algorithm is allowed to query the objective.<|reference_end|>
@article{diakonikolas2024optimization,
    title={Optimization on a Finer Scale: Bounded Local Subgradient Variation
  Perspective},
    author={Jelena Diakonikolas and Crist'obal Guzm'an},
    journal={arXiv preprint arXiv:2403.16317},
    year={2024},
    archivePrefix={arXiv},
    eprint={2403.16317},
    primaryClass={math.OC cs.DS cs.LG}
}