Revisiting Subgradient Method: Complexity and Convergence Beyond Lipschitz Continuity

• URL: http://arxiv.org/abs/2305.14161v1
• Date: Tue, 23 May 2023 15:26:36 GMT
• Title: Revisiting Subgradient Method: Complexity and Convergence Beyond Lipschitz Continuity
• Authors: Xiao Li, Lei Zhao, Daoli Zhu, Anthony Man-Cho So
• Abstract summary: Subgradient method is one of the most fundamental algorithmic schemes for nonsmooth optimization. In this work, we first extend the typical complexity results for the subgradient method to convex and weakly convex objective functions. We provide convergence results for non-Lipschitz convex and weakly convex objective functions using proper diminishing rules on the step sizes.
• Score: 29.56022052936922
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: The subgradient method is one of the most fundamental algorithmic schemes for nonsmooth optimization. The existing complexity and convergence results for this algorithm are mainly derived for Lipschitz continuous objective functions. In this work, we first extend the typical complexity results for the subgradient method to convex and weakly convex minimization without assuming Lipschitz continuity. Specifically, we establish $\mathcal{O}(1/\sqrt{T})$ bound in terms of the suboptimality gap ``$f(x) - f^*$'' for convex case and $\mathcal{O}(1/{T}^{1/4})$ bound in terms of the gradient of the Moreau envelope function for weakly convex case. Furthermore, we provide convergence results for non-Lipschitz convex and weakly convex objective functions using proper diminishing rules on the step sizes. In particular, when $f$ is convex, we show $\mathcal{O}(\log(k)/\sqrt{k})$ rate of convergence in terms of the suboptimality gap. With an additional quadratic growth condition, the rate is improved to $\mathcal{O}(1/k)$ in terms of the squared distance to the optimal solution set. When $f$ is weakly convex, asymptotic convergence is derived. The central idea is that the dynamics of properly chosen step sizes rule fully controls the movement of the subgradient method, which leads to boundedness of the iterates, and then a trajectory-based analysis can be conducted to establish the desired results. To further illustrate the wide applicability of our framework, we extend the complexity results to the truncated subgradient, the stochastic subgradient, the incremental subgradient, and the proximal subgradient methods for non-Lipschitz functions.

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