An Optimal Second-Order Algorithm for Finite-Sum Optimization under Average Smoothness and Convexity

In this paper, we consider a finite-sum optimization problem, where the objective function is convex, the $n$ component functions are twice continuously differentiable and their Hessians are mean-square Lipschitz. Our contribution is twofold. First, we develop a stochastic algorithm, which requires $\tilde{\mathcal{O}}(n + n^{6/7}/ε^{2/7})$ second-order oracle calls in expectation to find an approximate solution to the problem with the expected accuracy $ε$. Second, we establish a lower complexity bound of $Ω(n + n^{6/7}/ε^{2/7})$ for any stochastic second-order algorithm satisfying a stochastic second-order version of the first-order linear span assumption, which is widely adopted in the optimization literature. Our lower and upper complexity bounds match up to logarithmic factors and thus resolve an important open question of establishing the optimal complexity of this problem class.

Source: arXiv:2610.10495v1 - http://arxiv.org/abs/2610.10495v1 PDF: https://arxiv.org/pdf/2610.10495v1 Original Link: http://arxiv.org/abs/2610.10495v1