论文标题

一阶方法和自适应加速的几何形状

Geometry of First-Order Methods and Adaptive Acceleration

论文作者

Poon, Clarice, Liang, Jingwei

论文摘要

一阶操作员分裂方法通过科学和工程在许多领域中无处不在,例如反问题,信号/图像处理,统计,数据科学和机器学习,仅举几例。在本文中,我们研究了用于解决非平滑优化问题的一阶方法的几何特性。使用“部分平滑度”的工具,我们设计了一个框架来分析一阶方法生成的固定点序列的轨迹,并在局部表明,固定点序列沉淀在常规轨迹上,例如直线或螺旋。基于这一发现,我们讨论了当前使用广泛使用的“惯性加速”技术的局限性,并提出了自适应加速算法后的轨迹。基于定点迭代的扰动,为提出的加速方案建立了全局收敛。在本地,我们首先在数值分析领域的加速度方案和经过良好研究的“向量外推技术”之间建立连接,然后讨论拟议加速方案的局部加速度保证。此外,我们的结果提供了对这些向量外推技术的几何解释。提供了各种一阶方法的数值实验,以证明所提出的自适应加速方案的优势。

First-order operator splitting methods are ubiquitous among many fields through science and engineering, such as inverse problems, signal/image processing, statistics, data science and machine learning, to name a few. In this paper, we study a geometric property of first-order methods when applying to solve non-smooth optimization problems. With the tool of "partial smoothness", we design a framework to analyze the trajectory of the fixed-point sequence generated by first-order methods and show that locally, the fixed-point sequence settles onto a regular trajectory such as a straight line or a spiral. Based on this finding, we discuss the limitation of current widely used "inertial acceleration" technique, and propose a trajectory following adaptive acceleration algorithm. Global convergence is established for the proposed acceleration scheme based on the perturbation of fixed-point iteration. Locally, we first build connections between the acceleration scheme and the well-studied "vector extrapolation technique" in the field of numerical analysis, and then discuss local acceleration guarantees of the proposed acceleration scheme. Moreover, our result provides a geometric interpretation of these vector extrapolation techniques. Numerical experiments on various first-order methods are provided to demonstrate the advantage of the proposed adaptive acceleration scheme.

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