51,411 research outputs found
A Smooth Primal-Dual Optimization Framework for Nonsmooth Composite Convex Minimization
We propose a new first-order primal-dual optimization framework for a convex
optimization template with broad applications. Our optimization algorithms
feature optimal convergence guarantees under a variety of common structure
assumptions on the problem template. Our analysis relies on a novel combination
of three classic ideas applied to the primal-dual gap function: smoothing,
acceleration, and homotopy. The algorithms due to the new approach achieve the
best known convergence rate results, in particular when the template consists
of only non-smooth functions. We also outline a restart strategy for the
acceleration to significantly enhance the practical performance. We demonstrate
relations with the augmented Lagrangian method and show how to exploit the
strongly convex objectives with rigorous convergence rate guarantees. We
provide numerical evidence with two examples and illustrate that the new
methods can outperform the state-of-the-art, including Chambolle-Pock, and the
alternating direction method-of-multipliers algorithms.Comment: 35 pages, accepted for publication on SIAM J. Optimization. Tech.
Report, Oct. 2015 (last update Sept. 2016
Optimal Point Placement for Mesh Smoothing
We study the problem of moving a vertex in an unstructured mesh of
triangular, quadrilateral, or tetrahedral elements to optimize the shapes of
adjacent elements. We show that many such problems can be solved in linear time
using generalized linear programming. We also give efficient algorithms for
some mesh smoothing problems that do not fit into the generalized linear
programming paradigm.Comment: 12 pages, 3 figures. A preliminary version of this paper was
presented at the 8th ACM/SIAM Symp. on Discrete Algorithms (SODA '97). This
is the final version, and will appear in a special issue of J. Algorithms for
papers from SODA '9
Optimal Algorithms for Non-Smooth Distributed Optimization in Networks
In this work, we consider the distributed optimization of non-smooth convex
functions using a network of computing units. We investigate this problem under
two regularity assumptions: (1) the Lipschitz continuity of the global
objective function, and (2) the Lipschitz continuity of local individual
functions. Under the local regularity assumption, we provide the first optimal
first-order decentralized algorithm called multi-step primal-dual (MSPD) and
its corresponding optimal convergence rate. A notable aspect of this result is
that, for non-smooth functions, while the dominant term of the error is in
, the structure of the communication network only impacts a
second-order term in , where is time. In other words, the error due
to limits in communication resources decreases at a fast rate even in the case
of non-strongly-convex objective functions. Under the global regularity
assumption, we provide a simple yet efficient algorithm called distributed
randomized smoothing (DRS) based on a local smoothing of the objective
function, and show that DRS is within a multiplicative factor of the
optimal convergence rate, where is the underlying dimension.Comment: 17 page
Randomized Smoothing for Stochastic Optimization
We analyze convergence rates of stochastic optimization procedures for
non-smooth convex optimization problems. By combining randomized smoothing
techniques with accelerated gradient methods, we obtain convergence rates of
stochastic optimization procedures, both in expectation and with high
probability, that have optimal dependence on the variance of the gradient
estimates. To the best of our knowledge, these are the first variance-based
rates for non-smooth optimization. We give several applications of our results
to statistical estimation problems, and provide experimental results that
demonstrate the effectiveness of the proposed algorithms. We also describe how
a combination of our algorithm with recent work on decentralized optimization
yields a distributed stochastic optimization algorithm that is order-optimal.Comment: 39 pages, 3 figure
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