Adaptive cubic regularization methods with dynamic inexact Hessian information and applications to finite-sum minimization

Abstract. We consider the Adaptive Regularization with Cubics approach for solving nonconvex optimization problems and propose a new variant based on inexact Hessian information chosen dynamically. The theoretical analysis of the proposed procedure is given. The key property of ARC framework, constituted by optimal worst-case function/derivative evaluation bounds for first- and second-order critical point, is guaranteed. Application to large-scale finite-sum minimization based on subsampled Hessian is discussed and analyzed in both a deterministic and probabilistic manner and equipped with numerical experiments on synthetic and real datasets.

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