For strongly convex objectives that are smooth, the classical theory of gradient descent ensures linear convergence relative to the number of gradient evaluations. An analogous nonsmooth theory is challenging. Even when the objective is smooth at every iterate, the corresponding local models are unstable and the number of cutting planes invoked by traditional remedies is difficult to bound, leading to convergences guarantees that are sublinear relative to the cumulative number of gradient evaluations. We instead propose a multipoint generalization of the gradient descent iteration for local optimization. While designed with general objectives in mind, we are motivated by a “max-of-smooth” model that captures the subdifferential dimension at optimality. We prove linear convergence when the objective is itself max-of-smooth, and experiments suggest a more general phenomenon.
Citation
Accepted to SIAM Journal on Optimization (SIOPT)