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arxiv:2405.18926

Damped Newton Method with Near-Optimal Global Oleft(k^{-3} right) Convergence Rate

Published on May 29, 2024
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Abstract

This paper investigates the global convergence of stepsized Newton methods for convex functions. We propose several simple stepsize schedules with fast global convergence guarantees, up to O (k^{-3}), nearly matching lower complexity bounds Omega (k^{-3.5}) of second-order methods. For cases with multiple plausible smoothness parameterizations or an unknown smoothness constant, we introduce a stepsize backtracking procedure that ensures convergence as if the optimal smoothness parameters were known.

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