论文标题

通过歧管识别加速不精确的连续二次近似进行正则优化

Accelerating Inexact Successive Quadratic Approximation for Regularized Optimization Through Manifold Identification

论文作者

Lee, Ching-pei

论文摘要

为了定期优化,可以最大程度地减少促进结构化溶液的平滑项和正规化程序的总和,该溶液,不确定的近端 - 牛顿型方法或连续的二次近似(SQA)方法,被广泛用于其超线性收敛性,以迭代的迭代方式使用。但是,与平滑优化的计数器零件不同,它们在解决正规子问题方面的运行时间很长,因为即使近似解决方案也无法轻松计算,因此他们的经验时间成本并不令人印象深刻。在这项工作中,我们首先表明,对于部分平滑的正规化器,尽管一般不精确的解决方案无法识别使客观函数平滑的主动流形,但即使使用任意低的解决方案精度,通常使用常用的子问题求解器生成的近似解决方案也会识别此歧管。然后,我们利用此属性提出了一种改进的SQA方法ISQA+,该方法在确定了此歧管后切换到有效的平滑优化方法。我们表明,对于宽类的退化解决方案,ISQA+不仅具有迭代中的超线性收敛,而且还具有跑步时间,因为每次迭代的成本是有限的。特别是,我们的超线性融合结果构成了满足清晰度条件的问题,而不是现有文献中的问题。关于现实世界问题的实验还证实,ISQA+极大地改善了正规化优化的最新技术。

For regularized optimization that minimizes the sum of a smooth term and a regularizer that promotes structured solutions, inexact proximal-Newton-type methods, or successive quadratic approximation (SQA) methods, are widely used for their superlinear convergence in terms of iterations. However, unlike the counter parts in smooth optimization, they suffer from lengthy running time in solving regularized subproblems because even approximate solutions cannot be computed easily, so their empirical time cost is not as impressive. In this work, we first show that for partly smooth regularizers, although general inexact solutions cannot identify the active manifold that makes the objective function smooth, approximate solutions generated by commonly-used subproblem solvers will identify this manifold, even with arbitrarily low solution precision. We then utilize this property to propose an improved SQA method, ISQA+, that switches to efficient smooth optimization methods after this manifold is identified. We show that for a wide class of degenerate solutions, ISQA+ possesses superlinear convergence not just only in iterations, but also in running time because the cost per iteration is bounded. In particular, our superlinear convergence result holds on problems satisfying a sharpness condition more general than that in existing literature. Experiments on real-world problems also confirm that ISQA+ greatly improves the state of the art for regularized optimization.

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