arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2005.06976math.NAcs.NA
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低秩问题的黎曼多重网格线搜索

Riemannian multigrid line search for low-rank problems

University of Geneva(日内瓦大学)

Marco Sutti, Bart Vandereycken

AI总结:

针对PDE离散化产生的大规模优化问题,提出一种在固定秩黎曼流形上直接优化的多重网格算法,并采用Hager-Zhang线搜索的黎曼推广实现机器精度解。

摘要:

由偏微分方程离散化产生的大规模优化问题有时存在可被低秩矩阵良好逼近的解。本文通过直接在低秩矩阵集合上求解优化问题来利用这种低秩逼近性质。具体而言,我们引入了一种新的多重网格算法,其中优化变量被约束在固定秩矩阵的黎曼流形上。与大多数其他多重网格算法(在这些算法中,为了控制低秩截断引起的扰动,每个层级自适应地选择秩)不同,我们可以在整个迭代过程中保持秩(从而保持计算复杂度)固定。此外,基于Wolfe条件的经典线搜索实现能够计算数值精度限制在约机器epsilon平方根的解。这里,我们提出了Hager和Zhang线搜索在黎曼流形上的推广,该线搜索使用近似Wolfe条件,能够计算达到机器epsilon量级的解。数值实验证明了所提出框架的计算效率。

英文摘要:

Large-scale optimization problems arising from the discretization of problems involving PDEs sometimes admit solutions that can be well approximated by low-rank matrices. In this paper, we will exploit this low-rank approximation property by solving the optimization problem directly over the set of low-rank matrices. In particular, we introduce a new multilevel algorithm, where the optimization variable is constrained to the Riemannian manifold of fixed-rank matrices. In contrast to most other multilevel algorithms where the rank is chosen adaptively on each level in order to control the perturbation due to the low-rank truncation, we can keep the ranks (and thus the computational complexity) fixed throughout the iterations. Furthermore, classical implementations of line searches based on Wolfe conditions enable computing a solution where the numerical accuracy is limited to about the square root of the machine epsilon. Here, we propose an extension to Riemannian manifolds of the line search of Hager and Zhang, which uses approximate Wolfe conditions that enable computing a solution on the order of the machine epsilon. Numerical experiments demonstrate the computational efficiency of the proposed framework.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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