High-order methods beyond the classical complexity bounds, I: inexact high-order proximal-point methods

Abstract: In this paper, we introduce a \textit{Bi-level OPTimization} (BiOPT) framework for minimizing the sum of two convex functions, where both can be nonsmooth. The BiOPT framework involves two levels of methodologies. At the upper level of BiOPT, we first regularize the objective by a $(p+1)$th-order proximal term and then develop the generic inexact high-order proximal-point scheme and its acceleration using the standard estimation sequence technique. At the lower level, we solve the corresponding $p$th-order proximal auxiliary problem inexactly either by one iteration of the $p$th-order tensor method or by a lower-order non-Euclidean composite gradient scheme with the complexity $\mathcal{O}(\log \tfrac{1}{\varepsilon})$, for the accuracy parameter $\varepsilon>0$. Ultimately, if the accelerated proximal-point method is applied at the upper level, and the auxiliary problem is handled by a non-Euclidean composite gradient scheme, then we end up with a $2q$-order method with the convergence rate $\mathcal{O}(k^{-(p+1)})$, for $q=\lfloor p/2 \rfloor$, where $k$ is the iteration counter.