论文标题
具有增强的拉格朗日和近端步骤的不精确和随机广义条件梯度
Inexact and Stochastic Generalized Conditional Gradient with Augmented Lagrangian and Proximal Step
论文作者
论文摘要
在本文中,我们提出和分析了作者上一篇论文中开发的CGALP算法的不截然不见的和随机版本,我们表示ICGALP,这允许在计算几个重要数量的计算中出现错误。特别是,这允许人们以不精确的方式计算某些梯度,近端术语和/或线性最小化的牙齿,从而促进该算法在计算密集型设置中的实际应用,例如在机器学习问题中常见的高(或可能是无限)的高维时空间。该算法能够解决复合最小化问题,涉及三个凸的适当低 - 降低函数的总和,但要获得$ ax = b $的仿射约束,对于某些有界线性的线性运算符$ a $。物镜中只有一个函数被认为是可区分的,假定另外两个功能具有可访问的代理操作员和线性最小化的甲骨文。作为主要结果,我们在几乎确定的含义上,表明了拉格朗日人对仿射约束的最佳和渐近可行性的收敛,以及双重变量与双重问题解决方案的弱收敛性。几乎确定的收敛速率(均为点和千古化)是针对拉格朗日值和可行性差距的。还显示了验证预测收敛速率的数值实验。
In this paper we propose and analyze inexact and stochastic versions of the CGALP algorithm developed in the authors' previous paper, which we denote ICGALP, that allows for errors in the computation of several important quantities. In particular this allows one to compute some gradients, proximal terms, and/or linear minimization oracles in an inexact fashion that facilitates the practical application of the algorithm to computationally intensive settings, e.g. in high (or possibly infinite) dimensional Hilbert spaces commonly found in machine learning problems. The algorithm is able to solve composite minimization problems involving the sum of three convex proper lower-semicontinuous functions subject to an affine constraint of the form $Ax=b$ for some bounded linear operator $A$. Only one of the functions in the objective is assumed to be differentiable, the other two are assumed to have an accessible prox operator and a linear minimization oracle. As main results, we show convergence of the Lagrangian to an optimum and asymptotic feasibility of the affine constraint as well as weak convergence of the dual variable to a solution of the dual problem, all in an almost sure sense. Almost sure convergence rates, both pointwise and ergodic, are given for the Lagrangian values and the feasibility gap. Numerical experiments verifying the predicted rates of convergence are shown as well.