Escaping Saddle Points in Constrained Optimization. (arXiv:1809.02162v1 [cs.LG])

In this paper, we focus on escaping from saddle points in smooth nonconvex optimization problems subject to a convex set $\mathcal{C}$. We propose a generic framework that yields convergence to a second-order stationary point of the problem, if the convex set $\mathcal{C}$ is simple for a quadratic objective function. To be more precise, our results hold if one can find a $\rho$-approximate solution of a quadratic program subject to $\mathcal{C}$ in polynomial time, where $\rho<1$ is a positive constant that depends on the structure of the set $\mathcal{C}$. Under this condition, we show that the sequence of iterates generated by the proposed framework reaches an $(\epsilon,\gamma)$-second order stationary point (SOSP) in at most $\mathcal{O}(\max\{\epsilon^{-2},\rho^{-3}\gamma^{-3}\})$ iterations. We further characterize the overall arithmetic operations to reach an SOSP when the convex set $\mathcal{C}$ can be written as a set of quadratic constraints. Finally, we extend our results to the stochastic setting and characterize the number of stochastic gradient and Hessian evaluations to reach an $(\epsilon,\gamma)$-SOSP.

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