论文标题

对具有非结构化错误的近似算法的概率验证:应用全面不精确的ADMM

Probabilistic Verification of Approximate Algorithms with Unstructured Errors: Application to Fully Inexact Generalized ADMM

论文作者

Hamadouche, Anis, Wu, Yun, Wallace, Andrew M., Mota, Joao F. C.

论文摘要

储层计算是预测湍流的有力工具,其简单的架构具有处理大型系统的计算效率。然而,其实现通常需要完整的状态向量测量和系统非线性知识。我们使用非线性投影函数将系统测量扩展到高维空间,然后将其输入到储层中以获得预测。我们展示了这种储层计算网络在时空混沌系统上的应用,该系统模拟了湍流的若干特征。我们表明,使用径向基函数作为非线性投影器,即使只有部分观测并且不知道控制方程,也能稳健地捕捉复杂的系统非线性。最后,我们表明,当测量稀疏、不完整且带有噪声,甚至控制方程变得不准确时,我们的网络仍然可以产生相当准确的预测,从而为实际湍流系统的无模型预测铺平了道路。

We analyse the convergence of an approximate, fully inexact, ADMM algorithm under additive, deterministic and probabilistic error models. We consider the generalized ADMM scheme that is derived from generalized Lagrangian penalty with additive (smoothing) adaptive-metric quadratic proximal perturbations. We derive explicit deterministic and probabilistic convergence upper bounds for the lower-C2 nonconvex case as well as the convex case under the Lipschitz continuity condition. We also present more practical conditions on the proximal errors under which convergence of the approximate ADMM to a suboptimal solution is guaranteed with high probability. We consider statistically and dynamically-unstructured conditional mean independent bounded error sequences. We validate our results using both simulated and practical software and algorithmic computational perturbations. We apply the proposed algorithm to a synthetic LASSO and robust regression with k-support norm regularization problems and test our proposed bounds under different computational noise levels. Compared to classical convergence results, the adaptive probabilistic bounds are more accurate in predicting the distance from the optimal set and parasitic residual error under different sources of inaccuracies.

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