Transcription of Non-convex optimization
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Non-convex optimization
Non-convex optimizationIssam LaradjiStrongly Convex f(x)xObjective functionStrongly Convex Assumptionsf(x)xObjective functionGradient Lipschitz continuousStrongly convexStrongly Convex Assumptionsf(x)xObjective functionGradient Lipschitz continuousStrongly convexRandomized coordinate descentNon-strongly Convex optimizationAssumptionsGradient Lipschitz continuousConvergence rateCompared to the strongly convex convergence rateNon-strongly Convex optimizationNon-Strongly Convex AssumptionsObjective functionLipschitz continuousRestricted secant inequalityRandomized coordinate descentInvex functions (a generalization of convex function)AssumptionsObjective functionLipschitz continuousPolyak [1963]This inequality simply requires that the gradient grows faster than a linear function as we move away from the optimal function value. Invex function (one global minimum)Invex functions (a generalization of convex function)AssumptionsObjective functionLipschitz continuousPolyak [1963] - for invex functions where this holdsRandomized coordinate descentInvex function (one global minimum)Invex functions (a generalization of convex function)AssumptionsObjective functionLipschitz continuousPolyak [1963] - for invex functions where this holdsRandomized coordinate descentPolyakConvexInvexVenn diagramNon-convex functionsNon-convex functionslocal maximaGlobal minimum Local minimaNon-convex functionsGlobal minimum Local minimaStrategy 1: local optimiza
Invex functions (a generalization of convex function) Assumptions Objective function Lipschitz continuous ... in the Gaussian density function; and the uncertainty in the prediction value (exploration). Bayesian optimization Slower than grid-search with …
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