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NONLINEAR ACCELERATION OF CONSTRAINED OPTIMIZATION ALGORITHMS
KTH, School of Electrical Engineering and Computer Science (EECS), Automatic Control.
KTH, School of Electrical Engineering and Computer Science (EECS), Automatic Control.
2019 (English)In: 2019 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH AND SIGNAL PROCESSING (ICASSP), IEEE , 2019, p. 4903-4907Conference paper, Published paper (Refereed)
Abstract [en]

This paper introduces a novel technique for nonlinear acceleration of first-order methods for constrained convex optimization. Previous studies of nonlinear acceleration have only been able to provide convergence guarantees for unconstrained convex optimization. In contrast, our method is able to avoid infeasibility of the accelerated iterates and retains the theoretical performance guarantees of the unconstrained case. We focus on Anderson acceleration of the classical projected gradient descent (PGD) method, but our techniques can easily be extended to more sophisticated algorithms, such as mirror descent. Due to the presence of a constraint set, the relevant fixed-point mapping for PGD is not differentiable. However, we show that the convergence results for Anderson acceleration of smooth fixed-point iterations can be extended to the non-smooth case under certain technical conditions.

Place, publisher, year, edition, pages
IEEE , 2019. p. 4903-4907
Series
International Conference on Acoustics Speech and Signal Processing ICASSP, ISSN 1520-6149
Keywords [en]
Anderson acceleration, constrained optimization, projected gradient descent, semi-smoothness
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-261054DOI: 10.1109/ICASSP.2019.8682962ISI: 000482554005028Scopus ID: 2-s2.0-85068981869ISBN: 978-1-4799-8131-1 (print)OAI: oai:DiVA.org:kth-261054DiVA, id: diva2:1356656
Conference
44th IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), MAY 12-17, 2019, Brighton, ENGLAND
Note

QC 20191002

Available from: 2019-10-02 Created: 2019-10-02 Last updated: 2019-10-02Bibliographically approved

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Mai, Vien V.Johansson, Mikael

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
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