Asymptotic proximal point methods: finding the global minima with linear convergence for a class of multiple minima problems

Abstract: We propose and analyze asymptotic proximal point (APP) methods to find the global minimizer for a class of nonconvex, nonsmooth, or even discontinuous multiple minima functions. The method is based on an asymptotic representation of nonconvex proximal points so that it can find the global minimizer without being trapped in saddle points, local minima, or even discontinuities. Our main result shows that the method enjoys the global linear convergence for such a class of functions. Furthermore, the method is derivative-free and its per-iteration cost, i.e., the number of function evaluations, is also bounded, so it has a complexity bound $\mathcal{O}(\log\frac{1}{\epsilon})$ for finding a point such that the gap between this point and the global minimizer is less than $\epsilon>0$. Numerical experiments and comparisons in various dimensions from $2$ to $500$ demonstrate the benefits of the method.