DRSOM: A Dimension-Reduced Second-Order Method for Convex and Nonconvex Optimization

DRSOM.jl is a Julia implementation of the Dimension-Reduced Second-Order Method for unconstrained smooth optimization.

DRSOM.jl now includes a bunch of algorithms, including the variants of original DRSOM and the HSODM: Homogeneous Second-order Descent Method.

Known issues

DRSOM.jl is still under active development. Please add issues on GitHub.

License

DRSOM.jl is licensed under the MIT License. Check LICENSE for more details

Acknowledgment

• Special thanks go to the COPT team and Tianyi Lin (Darren) for helpful suggestions.

Developer

• Chuwen Zhang [email protected]
• Yinyu Ye [email protected]

Reference

You are welcome to cite our paper on DRSOM :)

@misc{zhang_drsom_2023,
	title = {{DRSOM}: {A} {Dimension} {Reduced} {Second}-{Order} {Method}},
	url = {http://arxiv.org/abs/2208.00208},
	doi = {10.48550/arXiv.2208.00208},
	author = {Zhang, Chuwen and Ge, Dongdong and He, Chang and Jiang, Bo and Jiang, Yuntian and Ye, Yinyu},
	month = jan,
	year = {2023},
	note = {arXiv:2208.00208 [cs, math]},
}

and HSODM,

@misc{zhang_homogenous_2022,
	title = {A {Homogenous} {Second}-{Order} {Descent} {Method} for {Nonconvex} {Optimization}},
	url = {http://arxiv.org/abs/2211.08212},
	publisher = {arXiv},
	author = {Zhang, Chuwen and Ge, Dongdong and He, Chang and Jiang, Bo and Jiang, Yuntian and Xue, Chenyu and Ye, Yinyu},
	month = nov,
	year = {2022},
	note = {arXiv:2211.08212 [math]},
	keywords = {Mathematics - Optimization and Control}
}