Adaptive Alternating Minimization Algorithms

The classical alternating minimization (or projection) algorithm has been successful in the context of solving optimization problems over two variables. The iterative nature and simplicity of the algorithm has led to its application to many areas such as signal processing, information theory, control, and finance. A general set of sufficient conditions for the convergence and correctness of the algorithm is quite well-known when the underlying problem parameters are fixed. In many practical situations, however, the underlying problem parameters are changing over time, and the use of an adaptive algorithm is more appropriate. In this paper, we study such an adaptive version of the alternating minimization algorithm. As a main result of this paper, we provide a general set of sufficient conditions for the convergence and correctness of the adaptive algorithm. Perhaps surprisingly, these conditions seem to be the minimal ones one would expect in such an adaptive setting. We present applications of our results to adaptive decomposition of mixtures, adaptive log-optimal portfolio selection, and adaptive filter design.Comment: 12 pages, to appear in IEEE Transactions on Information Theor

On accelerated alternating minimization

Alternating minimization (AM) optimization algorithms have been known for a long time and are of importance in machine learning problems, among which we are mostly motivated by approximating optimal transport distances. AM algorithms assume that the decision variable is divided into several blocks and minimization in each block can be done explicitly or cheaply with high accuracy. The ubiquitous Sinkhorn's algorithm can be seen as an alternating minimization algorithm for the dual to the entropy-regularized optimal transport problem. We introduce an accelerated alternating minimization method with a $1/k^2$ convergence rate, where $k$ is the iteration counter. This improves over known bound $1/k$ for general AM methods and for the Sinkhorn's algorithm. Moreover, our algorithm converges faster than gradient-type methods in practice as it is free of the choice of the step-size and is adaptive to the local smoothness of the problem. We show that the proposed method is primal-dual, meaning that if we apply it to a dual problem, we can reconstruct the solution of the primal problem with the same convergence rate. We apply our method to the entropy regularized optimal transport problem and show experimentally, that it outperforms Sinkhorn's algorithm