Complexities of Weak Proximal Oracle Methods for Composite Convex Optimization

We study convex composite optimization problems, where the objective function is given by the sum of a prox-friendly function and a convex function whose subgradients are estimated under heavy-tailed noise. Existing work often employs gradient clipping or normalization techniques in stochastic first-order methods to address heavy-tailed noise. %In this paper, we demonstrate that a vanilla stochastic algorithm---without additional modifications such as clipping or normalization---can achieve optimal complexity for these problems. In this paper, we analyze the first-order oracle complexity of vanilla stochastic algorithms---without additional modifications such as clipping or normalization---for solving these problems. In particular, we establish that an accelerated stochastic proximal subgradient method achieves a first-order oracle complexity for finding an approximate optimal solution in expectation that is universally optimal for smooth, weakly smooth, and nonsmooth convex optimization, as well as for stochastic convex optimization under heavy-tailed noise. Moreover, we derive high-probability first-order oracle complexity bounds for the accelerated stochastic proximal subgradient method under heavy-tailed and sub-Weibull noise, respectively. Numerical experiments are further provided to illustrate the numerical behavior of the methods.

We develop new accelerated first-order algorithms in the Frank-Wolfe (FW) family for minimizing smooth convex functions over compact convex sets, with a focus on two prominent constraint classes: (1) polytopes and (2) matrix domains given by the spectrahedron and nuclear-norm balls. A key technical ingredient is a complementarity condition that captures solution sparsity---face dimension for polytopes and rank for matrices. We present two algorithms: (1) a purely linear optimization oracle (LOO) method for polytopes that has optimal worst-case first-order (FO) oracle complexity and, aside of a finite \emph{burn-in} phase and up to a logarithmic factor, has LOO complexity that scales with $r/\sqrtε$, where $ε$ is the target accuracy and $r$ is the solution sparsity (independently of the ambient dimension), and (2) a hybrid scheme that combines FW with a sparse projection oracle (e.g., low-rank SVDs for matrix domains with low-rank solutions), which also has optimal FO oracle complexity, and after a finite burn-in phase, only requires $O(1/\sqrtε)$ sparse projections and LOO calls (independently of both the ambient dimension and the sparsity level of optimal solutions). Our results close a gap on how to accelerate recent advancements in linearly-converging FW algorithms for strongly convex optimization, without paying the price of the dimension.

Randomized-subspace methods reduce the cost of first-order optimization by using only low-dimensional projected-gradient information, a feature that is attractive in forward-mode automatic differentiation and communication-limited settings. While Nesterov acceleration is well understood for full-gradient and coordinate-based methods, obtaining accelerated methods for general subspace sketches that use only projected-gradient information and can improve over full-dimensional Nesterov acceleration in oracle complexity is technically nontrivial. We develop randomized-subspace Nesterov accelerated gradient methods for smooth convex and smooth strongly convex optimization under matrix smoothness and generic sketch moment assumptions. The key technical ingredient is a three-sequence formulation tailored to matrix smoothness, which recovers the corresponding classical Nesterov methods in the full-dimensional case. The resulting theory establishes accelerated oracle-complexity guarantees and makes explicit how matrix smoothness and the sketch distribution enter the complexity. It also provides a unified basis for comparing sketch families and identifying when randomized-subspace acceleration improves over full-dimensional Nesterov acceleration in oracle complexity.