An Inexact Regularized Proximal Newton Method without Line Search (2404.02635v2)

Abstract: In this paper, we introduce an inexact regularized proximal Newton method (IRPNM) that does not require any line search. The method is designed to minimize the sum of a twice continuously differentiable function $f$ and a convex (possibly non-smooth and extended-valued) function $\varphi$. Instead of controlling a step size by a line search procedure, we update the regularization parameter in a suitable way, based on the success of the previous iteration. The global convergence of the sequence of iterations and its superlinear convergence rate under a local H\"olderian error bound assumption are shown. Notably, these convergence results are obtained without requiring a global Lipschitz property for $ \nabla f $, which, to the best of the authors' knowledge, is a novel contribution for proximal Newton methods. To highlight the efficiency of our approach, we provide numerical comparisons with an IRPNM using a line search globalization and a modern FISTA-type method.