Search arXivSearch

arXiv · 2201.01169

Inexact accelerated proximal gradient method with line search and reduced complexity for affine-constrained and bilinear saddle-point structured convex problems

Abstract

The goal of this paper is to reduce the total complexity of gradient-based methods for two classes of problems: affine-constrained composite convex optimization and bilinear saddle-point structured non-smooth convex optimization. Our technique is based on a double-loop inexact accelerated proximal gradient (APG) method for minimizing the summation of a non-smooth but proximable convex function and two smooth convex functions with different smoothness constants and computational costs. Compared to the standard APG method, the inexact APG method can reduce the total computation cost if one smooth component has higher computational cost but a smaller smoothness constant than the other. With this property, the inexact APG method can be applied to approximately solve the subproblems of a proximal augmented Lagrangian method for affine-constrained composite convex optimization and the smooth approximation for bilinear saddle-point structured non-smooth convex optimization, where the smooth function with a smaller smoothness constant has significantly higher computational cost. Thus it can reduce total complexity for finding an approximately optimal/stationary solution. This technique is similar to the gradient sliding technique in the literature. The difference is that our inexact APG method can efficiently stop the inner loop by using a computable condition based on a measure of stationarity violation, while the gradient sliding methods need to pre-specify the number of iterations for the inner loop. Numerical experiments demonstrate significantly higher efficiency of our methods over an optimal primal-dual first-order method and the gradient sliding methods.

Explore related subjects

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Qihang Lin, Yangyang Xu. 2022-01-04. Inexact accelerated proximal gradient method with line search and reduced complexity for affine-constrained and bilinear saddle-point structured convex problems. https://arxiv.org/abs/2201.01169

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

Genericity of Polyak-Lojasiewicz Inequalities for Entropic Mean-Field Neural ODEs

We address the behavior of idealized deep residual neural networks (ResNets), modeled via an optimal control problem set over continuity (or adjoint transport) equations. The continuity equations describe the statistical evolution of the features in the asymptotic regime where the layers of the network form a continuum. The velocity field is expressed through the network activation function, which is itself viewed as a function of the statistical distribution of the network parameters (weights and biases). From a mathematical standpoint, the control is interpreted in a relaxed sense, taking values in the space of probability measures over the set of parameters. We investigate the optimal behavior of the network when the cost functional arises from a regression problem and includes an additional entropic regularization term on the distribution of the parameters. In this framework, we focus in particular on the existence of stable optimizers --that is, optimizers at which the Hessian of the cost is non-degenerate. We show that, for an open and dense set of initial data, understood here as probability distributions over features and associated labels, there exists a unique stable global minimizer of the control problem. Moreover, we show that such minimizers satisfy a local Polyak--Lojasiewicz inequality, which can lead to exponential convergence of the corresponding gradient descent when the initialization lies sufficiently close to the optimal parameters. This result thus demonstrates the genericity (with respect to the distribution of features and labels) of the Polyak--Lojasiewicz condition in ResNets with a continuum of layers and under entropic penalization.

math.OC

A regret minimization approach to fixed-point iterations

We propose a conversion scheme that turns regret minimizing algorithms into fixed point iterations, with convergence guarantees following from regret bounds. The resulting iterations can be seen as a grand extension of the classical Krasnoselskii--Mann iterations, as the latter are recovered by converting the Online Gradient Descent algorithm. This approach yields new simple iterations for finding fixed points of non-self operators. We also focus on converting algorithms from the AdaGrad family of regret minimizers, and thus obtain fixed point iterations with adaptive guarantees of a new kind. Numerical experiments on various problems demonstrate faster convergence of AdaGrad-based fixed point iterations over Krasnoselskii--Mann iterations.

math.OC

Variational Analysis in Spectral Decomposition Systems

This work is concerned with the variational analysis of functions defined on Euclidean spaces whose values depend solely on certain invariants (``spectrum'') of their arguments, a class we term ``spectral functions.'' Building on our previous work \cite{PartI} on the convex analysis of such functions, we work in the abstract framework of spectral decomposition systems, which covers a wide range of previously studied settings, including eigenvalue decomposition of Hermitian matrices and singular value decomposition of rectangular matrices, and allows the derivation of new results in more general settings such as normal decomposition systems. The main results of this work provide constructive formulae for computing the regular, limiting, and Clarke subdifferentials of a spectral function in terms of the corresponding objects of the associated invariant function. Finally, we obtain a generalization of Lidski\uı's theorem on the spectrum of additive perturbations of Hermitian matrices to arbitrary spectral decomposition systems.

math.OC