Cubic regularization of Newton method and its global performance

In this paper, we provide theoretical analysis for a cubic regularization of Newton method as applied to unconstrained minimization problem. For this scheme, we prove general local convergence results. However, the main contribution of the paper is related to global worst-case complexity bounds for different problem classes including some nonconvex cases. It is shown that the search direction can be computed by standard linear algebra technique.

• Type: Journal
• Year: 2006
• Where: MP
• Authors: Yurii Nesterov, Boris T. Polyak
• Keywords: Cubic Regularization, Global Worst-case Complexity, MP 2006, Unconstrained Minimization Problem