Abstract
Subgradient methods comprise a fundamental class of nonsmooth optimization algorithms. Classical results show that certain subgradient methods converge sublinearly for general Lipschitz convex functions and converge linearly for convex functions that grow sharply away from solutions. Recent work has moreover extended these results to certain nonconvex problems. In this work we seek to improve the complexity of these algorithms, asking: is it possible to design a superlinearly convergent subgradient method? We provide a positive answer to this question for a broad class of sharp semismooth functions.
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