Optimizing Star-Convex Functions

Star-convexity is a significant relaxation of the notion of convexity, that allows for functions that do not have (sub)gradients at most points, and may even be discontinuous everywhere except at the global optimum. We introduce a polynomial time algorithm for optimizing the class of star-convex functions, under no Lipschitz or other smoothness assumptions whatsoever, and no restrictions except exponential boundedness on a region about the origin, and Lebesgue measurability. The algorithm’s performance is polynomial in the requested number of digits of accuracy and the dimension of the search domain. This contrasts with the previous best known algorithm of Nesterov and Polyak which has exponential dependence on the number of digits of accuracy, but only n! dependence on the dimension n (where ! is the matrix multiplication exponent), and which further requires Lipschitz second differentiability of the function [1].