Proximal Oracles for Optimization and Sampling

Abstract

We consider convex optimization with non-smooth objective function and log-concave sampling with non-smooth potential (negative log density). In particular, we study two specific settings where the convex objective/potential function is either Hölder smooth or in hybrid form as the finite sum of Hölder smooth components. To overcome the challenges caused by non-smoothness, our algorithms employ two powerful proximal frameworks in optimization and sampling: the proximal point framework for optimization and the alternating sampling framework (ASF) that uses Gibbs sampling on an augmented distribution. A key component of both optimization and sampling algorithms is the efficient implementation of the proximal map by the regularized cutting-plane method. We establish its iteration-complexity under both Hölder smoothness and hybrid settings using novel convergence analysis, yielding results that are new to the literature. We further propose an adaptive proximal bundle method for non-smooth optimization that employs an aggressive adaptive stepsize strategy, which adjusts stepsizes only when necessary and never rejects iterates. The proposed method is universal since it does not need any problem parameters as input. Additionally, we provide an exact implementation of a proximal sampling oracle, analogous to the proximal map in optimization, along with simple complexity analyses for both the Hölder smooth and hybrid cases, using a novel technique based on a modified Gaussian integral. Finally, we combine this proximal sampling oracle and ASF to obtain a Markov chain Monte Carlo method with non-asymptotic complexity bounds for sampling in Hölder smooth and hybrid settings.