Inexact and Implementable Accelerated Newton Proximal Extragradient Method for Convex Optimization

Abstract: In this paper, we investigate the convergence behavior of the Accelerated Newton Proximal Extragradient (A-NPE) method when employing inexact Hessian information. The exact A-NPE method was the pioneer near-optimal second-order approach, exhibiting an oracle complexity of $\Tilde{O}(\epsilon^{-2/7})$ for convex optimization. Despite its theoretical optimality, there has been insufficient attention given to the study of its inexact version and efficient implementation. We introduce the inexact A-NPE method (IA-NPE), which is shown to maintain the near-optimal oracle complexity. In particular, we design a dynamic approach to balance the computational cost of constructing the Hessian matrix and the progress of the convergence. Moreover, we show the robustness of the line-search procedure, which is a subroutine in IA-NPE, in the face of the inexactness of the Hessian. These nice properties enable the implementation of highly effective machine learning techniques like sub-sampling and various heuristics in the method. Extensive numerical results illustrate that IA-NPE compares favorably with state-of-the-art second-order methods, including Newton's method with cubic regularization and Trust-Region methods.