在非线性约束下加速的第一阶优化
Michael Muehlebach1, Michael I Jordan2
1Learning and Dynamical Systems, Max Planck Institute for Intelligent Systems, Max-Planck-Ring 4, 72076 Tuebingen, Baden-Wuerttemberg Germany.
开发了用于受约束优化的新加速第一阶算法,使用与非平滑动态系统的类比. 这些方法提供了提高效率和处理非凸约束,使它们适合机器学习任务.
科学领域:
- 优化理论 优化理论
- 动态系统 动态系统
- 机器学习 机器学习
背景情况:
- 一级算法对于受约束优化至关重要.
- 像弗兰克-沃尔夫和预测梯度这样的现有方法可能是计算密集的.
- 非平滑的动态系统为算法设计提供了新的视角.
研究的目的:
- 设计一类新的加速一阶算法,用于受约束优化.
- 开发算法,以避免每次代实现完全可行的集合优化.
- 解决有效处理非凸约束的挑战.
主要方法:
- 利用第一阶优化算法和非平滑动态系统之间的类比.
- 开发算法,其中限制是以速度表示的.
- 证明非凸设置中的收率,并推导凸设置中的加速率.
主要成果:
- 对静止点的收已被证明,即使对于非凸的问题也是如此.
- 对于连续和离散的时间凸设置,都会推导出加速的收率.
- 算法表现出轻微的复杂性增长与决策变量和约束.
- 对非凸的L_p约束 (p<1) 的高效处理以及对L_1约束的最新性能.
结论:
- 新的算法为受约束优化提供了一种高效且可扩展的方法.
- 基于速度的约束表述使机器学习问题的实际应用成为可能.
- 这些算法在压缩感应和稀疏回归任务上表现出强的性能.
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