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2020. Automated tight Lyapunov analysis for first-order methods
Invited abstract in session WC-32: Computer-Assisted Proofs in Optimization, stream Advances in large scale nonlinear optimization.
Wednesday, 12:30-14:00Room: 41 (building: 303A)
Authors (first author is the speaker)
| 1. | Manu Upadhyaya
|
| Lund University | |
| 2. | Sebastian Banert
|
| Department of Automatic Control, Lund University | |
| 3. | Adrien Taylor
|
| Inria/ENS | |
| 4. | Pontus Giselsson
|
| Dept. of Automatic Control, Lund University |
Abstract
We present a methodology for establishing the existence of quadratic Lyapunov inequalities for a wide range of first-order methods used to solve convex optimization problems. In particular, we consider (i) classes of optimization problems of finite-sum form with (possibly strongly) convex and possibly smooth functional components, (ii) first-order methods that can be written as a linear system on state-space form in feedback interconnection with the subdifferentials of the functional components of the objective function, and (iii) quadratic Lyapunov inequalities that can be used to draw convergence conclusions. We present a necessary and sufficient condition for the existence of a quadratic Lyapunov inequality within a predefined class of Lyapunov inequalities, which amounts to solving a small-sized semidefinite program. We showcase our methodology on several first-order methods that fit the framework. Most notably, our methodology allows us to significantly extend the region of parameter choices that allow for duality gap convergence in the Chambolle-Pock method.
Keywords
- Programming, Semidefinite
- Convex Optimization
- Non-smooth Optimization
Status: accepted
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