Acceleration with a Ball Optimization Oracle
Abstract
Consider an oracle which takes a point x and returns the minimizer of a convex function f in an 2 ball of radius r around x. It is straightforward to show that roughly r-11ε calls to the oracle suffice to find an ε-approximate minimizer of f in an 2 unit ball. Perhaps surprisingly, this is not optimal: we design an accelerated algorithm which attains an ε-approximate minimizer with roughly r-2/3 1ε oracle queries, and give a matching lower bound. Further, we implement ball optimization oracles for functions with locally stable Hessians using a variant of Newton's method. The resulting algorithm applies to a number of problems of practical and theoretical import, improving upon previous results for logistic and ∞ regression and achieving guarantees comparable to the state-of-the-art for p regression.