Inexact accelerated proximal gradient method with line search and reduced complexity for affine-constrained and bilinear saddle-point structured convex problems
The goal of this paper is to reduce the total complexity of gradient-based methods for two classes of problems: affine-constrained composite convex optimization and bilinear saddle-point structured non-smooth convex optimization. Our technique is based on a double-loop inexact accelerated proximal gradient (APG) method for minimizing the summation of a non-smooth but proximable convex function and two smooth convex functions with different smoothness constants and computational costs. Compared to the standard APG method, the inexact APG method can reduce the total computation cost if one smooth component has higher computational cost but a smaller smoothness constant than the other. With this property, the inexact APG method can be applied to approximately solve the subproblems of a proximal augmented Lagrangian method for affine-constrained composite convex optimization and the smooth approximation for bilinear saddle-point structured non-smooth convex optimization, where the smooth function with a smaller smoothness constant has significantly higher computational cost. Thus it can reduce total complexity for finding an approximately optimal/stationary solution. This technique is similar to the gradient sliding technique in the literature. The difference is that our inexact APG method can efficiently stop the inner loop by using a computable condition based on a measure of stationarity violation, while the gradient sliding methods need to pre-specify the number of iterations for the inner loop. Numerical experiments demonstrate significantly higher efficiency of our methods over an optimal primal-dual first-order method and the gradient sliding methods.
This paper expands the Cyclic Block Proximal Gradient method for block separable composite minimization by allowing for inexactly computed gradients and proximal maps. The resultant algorithm, the Inexact Cyclic Block Proximal Gradient (I-CBPG) method, shares the same convergence rate as its exactly computed analogue provided the allowable errors decrease sufficiently quickly or are pre-selected to be sufficiently small. We provide numerical experiments that showcase the practical computational advantage of I-CBPG for certain fixed tolerances of approximation error and for a dynamically decrea…
Proximal operations are among the most common primitives appearing in both practical and theoretical (or high-level) optimization methods. This basic operation typically consists in solving an intermediary (hopefully simpler) optimization problem. In this work, we survey notions of inaccuracies that can be used when solving those intermediary optimization problems. Then, we show that worst-case guarantees for algorithms relying on such inexact proximal operations can be systematically obtained through a generic procedure based on semidefinite programming. This methodology is primarily based on…
In this paper we present an inexact proximal point method for variational inequality problem on Hadamard manifolds and study its convergence properties. The proposed algorithm is inexact in two sense. First, each proximal subproblem is approximated by using the enlargement of the vector field in consideration and then the next iterated is obtained by solving this subproblem allowing a suitable error tolerance. As an application, we obtain an inexact proximal point method for constrained optimization problems, equilibrium problems and nonlinear optimization problems on Hadamard manifolds.
In this paper an inexact proximal point method for variational inequalities in Hadamard manifolds is introduced and studied its convergence properties. The main tool used for presenting the method is the concept of enlargement of monotone vector fields, which generalizes the concept of enlargement of monotone operators from the linear setting to the Riemannian context. As an application, an inexact proximal point method for constrained optimization problems is obtained.
We consider Proximal Newton methods with an inexact computation of update steps. To this end, we introduce two inexactness criteria which characterize sufficient accuracy of these update step and with the aid of these investigate global convergence and local acceleration of our method. The inexactness criteria are designed to be adequate for the Hilbert space framework we find ourselves in while traditional inexactness criteria from smooth Newton or finite dimensional Proximal Newton methods appear to be inefficient in this scenario. The performance of the method and its gain in effectiveness …
We present two approximate versions of the proximal subgradient method for minimizing the sum of two convex functions (not necessarily differentiable). The algorithms involve, at each iteration, inexact evaluations of the proximal operator and approximate subgradients of the functions (namely: the $ε$-subgradients). The methods use different error criteria for approximating the proximal operators. We provide an analysis of the convergence and rate of convergence properties of these methods, considering various stepsize rules, including both, diminishing and constant stepsizes. For the case whe…
This paper describes and establishes the iteration-complexity of a doubly accelerated inexact proximal point (D-AIPP) method for solving the nonconvex composite minimization problem whose objective function is of the form $f+h$ where $f$ is a (possibly nonconvex) differentiable function whose gradient is Lipschitz continuous and $h$ is a closed convex function with bounded domain. D-AIPP performs two types of iterations, namely, inner and outer ones. Its outer iterations correspond to the ones of the accelerated inexact proximal point scheme. Its inner iterations are the ones performed by an a…
The $\ell_p$ regularization problem with $0< p< 1$ has been widely studied for finding sparse solutions of linear inverse problems and gained successful applications in various mathematics and applied science fields. The proximal gradient algorithm is one of the most popular algorithms for solving the $\ell_p$ regularisation problem. In the present paper, we investigate the linear convergence issue of one inexact descent method and two inexact proximal gradient algorithms (PGA). For this purpose, an optimality condition theorem is explored to provide the equivalences among a local minimum, sec…
This paper considers the problem of minimizing the summation of a differentiable function and a nonsmooth function on a Riemannian manifold. In recent years, proximal gradient method and its invariants have been generalized to the Riemannian setting for solving such problems. Different approaches to generalize the proximal mapping to the Riemannian setting lead versions of Riemannian proximal gradient methods. However, their convergence analyses all rely on solving their Riemannian proximal mapping exactly, which is either too expensive or impracticable. In this paper, we study the convergence…
One of the most popular and important first-order iterations that provides optimal complexity of the classical proximal gradient method (PGM) is the "Fast Iterative Shrinkage/Thresholding Algorithm" (FISTA). In this paper, two inexact versions of FISTA for minimizing the sum of two convex functions are studied. The proposed schemes inexactly solve their subproblems by using relative error criteria instead of exogenous and diminishing error rules. When the evaluation of the proximal operator is difficult, inexact versions of FISTA are necessary and the relative error rules proposed here may hav…
In this paper, an inexact proximal-point penalty method is studied for constrained optimization problems, where the objective function is non-convex, and the constraint functions can also be non-convex. The proposed method approximately solves a sequence of subproblems, each of which is formed by adding to the original objective function a proximal term and quadratic penalty terms associated to the constraint functions. Under a weak-convexity assumption, each subproblem is made strongly convex and can be solved effectively to a required accuracy by an optimal gradient-based method. The computa…
Stochastic nonconvex optimization problems with nonlinear constraints have a broad range of applications in intelligent transportation, cyber-security, and smart grids. In this paper, first, we propose an inexact-proximal accelerated gradient method to solve a nonconvex stochastic composite optimization problem where the objective is the sum of smooth and nonsmooth functions, the constraint functions are assumed to be deterministic and the solution to the proximal map of the nonsmooth part is calculated inexactly at each iteration. We demonstrate an asymptotic sublinear rate of convergence for…
The proximal gradient algorithm has been popularly used for convex optimization. Recently, it has also been extended for nonconvex problems, and the current state-of-the-art is the nonmonotone accelerated proximal gradient algorithm. However, it typically requires two exact proximal steps in each iteration, and can be inefficient when the proximal step is expensive. In this paper, we propose an efficient proximal gradient algorithm that requires only one inexact (and thus less expensive) proximal step in each iteration. Convergence to a critical point %of the nonconvex problem is still guarant…
In this paper, we propose and analyze an inexact version of the symmetric proximal alternating direction method of multipliers (ADMM) for solving linearly constrained optimization problems. Basically, the method allows its first subproblem to be solved inexactly in such way that a relative approximate criterion is satisfied. In terms of the iteration number $k$, we establish global $\mathcal{O} (1/ \sqrt{k})$ pointwise and $\mathcal{O} (1/ {k})$ ergodic convergence rates of the method for a domain of the acceleration parameters, which is consistent with the largest known one in the exact case.…
We study a general convex optimization problem, which covers various classic problems in different areas and particularly includes many optimal transport related problems arising in recent years. To solve this problem, we revisit the classic Bregman proximal point algorithm (BPPA) and introduce a new inexact stopping condition for solving the subproblems, which can circumvent the underlying feasibility difficulty often appearing in existing inexact conditions when the problem has a complex feasible set. Our inexact condition also covers several existing inexact conditions as special cases and …
This paper analyzes the iteration-complexity of a quadratic penalty accelerated inexact proximal point method for solving linearly constrained nonconvex composite programs. More specifically, the objective function is of the form $f + h$ where $f$ is a differentiable function whose gradient is Lipschitz continuous and $h$ is a closed convex function with bounded domain. The method, basically, consists of applying an accelerated inexact proximal point method for solving approximately a sequence of quadratic penalized subproblems associated to the linearly constrained problem. Each subproblem of…
This paper is concerned with two-block separable convex minimization problems with linear constraints, for which it is either impossible or too expensive to obtain the exact solutions of the subproblems involved in the proximal ADMM (alternating direction method of multipliers). Such structured convex minimization problems often arise from the two-block regroup settlement of three or four-block separable convex optimization problems with linear constraints, or from the constrained total-variation superresolution image reconstruction problems in image processing. For them, we propose an inexact…
This paper presents smoothing schemes for obtaining approximate stationary points of unconstrained or linearly-constrained composite nonconvex-concave min-max (and hence nonsmooth) problems by applying well-known algorithms to composite smooth approximations of the original problems. More specifically, in the unconstrained (resp. constrained) case, approximate stationary points of the original problem are obtained by applying, to its composite smooth approximation, an accelerated inexact proximal point (resp. quadratic penalty) method presented in a previous paper by the authors. Iteration com…
Locating proximal points is a component of numerous minimization algorithms. This work focuses on developing a method to find the proximal point of a convex function at a point, given an inexact oracle. Our method assumes that exact function values are at hand, but exact subgradients are either not available or not useful. We use approximate subgradients to build a model of the objective function, and prove that the method converges to the true prox-point within acceptable tolerance. The subgradient $g_k$ used at each step $k$ is such that the distance from $g_k$ to the true subdifferential of…
In this paper, we introduce a \textit{Bi-level OPTimization} (BiOPT) framework for minimizing the sum of two convex functions, where both can be nonsmooth. The BiOPT framework involves two levels of methodologies. At the upper level of BiOPT, we first regularize the objective by a $(p+1)$th-order proximal term and then develop the generic inexact high-order proximal-point scheme and its acceleration using the standard estimation sequence technique. At the lower level, we solve the corresponding $p$th-order proximal auxiliary problem inexactly either by one iteration of the $p$th-order tensor m…
This paper establishes the iteration-complexity of an inner accelerated inexact proximal augmented Lagrangian (IAIPAL) method for solving linearly-constrained smooth nonconvex composite optimization problems that is based on the classical augmented Lagrangian (AL) function. More specifically, each IAIPAL iteration consists of inexactly solving a proximal AL subproblem by an accelerated composite gradient (ACG) method followed by a classical Lagrange multiplier update. Under the assumption that the domain of the composite function is bounded and the problem has a Slater point, it is shown that …
In this paper, we propose and study the asymptotic convergence and nonasymptotic global convergence rates (iteration-complexity) of an inertial under-relaxed version of the relative-error hybrid proximal extragradient (HPE) method for solving monotone inclusion problems. We analyze the proposed method under more flexible assumptions than existing ones on the extrapolation and relative-error parameters. As applications, we propose and/or study inertial under-relaxed forward-backward and Tseng's modified forward-backward type methods for solving structured monotone inclusions.
This paper proposes and establishes the iteration-complexity of an inexact proximal accelerated augmented Lagrangian (IPAAL) method for solving linearly constrained smooth nonconvex composite optimization problems. Each IPAAL iteration consists of inexactly solving a proximal augmented Lagrangian subproblem by an accelerated composite gradient (ACG) method followed by a suitable Lagrange multiplier update. It is shown that IPAAL generates an approximate stationary solution in at most ${\cal O}(\log(1/ρ)/ρ^{3})$ ACG iterations, where $ρ>0$ is the given tolerance. It is also shown that the previ…
In this paper, we use Proximal Cubic regularized Newton Methods (PCNM) to optimize the sum of a smooth convex function and a non-smooth convex function, where we use inexact gradient and Hessian, and an inexact subsolver for the cubic regularized second-order subproblem. We propose inexact variants of PCNM and accelerated PCNM respectively, and show that both variants can achieve the same convergence rate as in the exact case, provided that the errors in the inexact gradient, Hessian and subsolver decrease at appropriate rates. Meanwhile, in the online stochastic setting where data comes endle…
We consider the proximal-gradient method for minimizing an objective function that is the sum of a smooth function and a non-smooth convex function. A feature that distinguishes our work from most in the literature is that we assume that the associated proximal operator does not admit a closed-form solution. To address this challenge, we study two adaptive and implementable termination conditions that dictate how accurately the proximal-gradient subproblem is solved. We prove that the number of iterations required for the inexact proximal-gradient method to reach a $τ> 0$ approximate first-ord…
This work presents an adaptive superfast proximal augmented Lagrangian (AS-PAL) method for solving linearly-constrained smooth nonconvex composite optimization problems. Each iteration of AS-PAL inexactly solves a possibly nonconvex proximal augmented Lagrangian (AL) subproblem obtained by an aggressive/adaptive choice of prox stepsize with the aim of substantially improving its computational performance followed by a full Lagrangian multiplier update. A major advantage of AS-PAL compared to other AL methods is that it requires no knowledge of parameters (e.g., size of constraint matrix, objec…
INRIA（法国国家信息与自动化研究所）；Laboratoire d’Informatique de l’École Normale Supérieure（巴黎高等师范学院计算机实验室）
We consider the problem of optimizing the sum of a smooth convex function and a non-smooth convex function using proximal-gradient methods, where an error is present in the calculation of the gradient of the smooth term or in the proximity operator with respect to the non-smooth term. We show that both the basic proximal-gradient method and the accelerated proximal-gradient method achieve the same convergence rate as in the error-free case, provided that the errors decrease at appropriate rates.Using these rates, we perform as well as or better than a carefully chosen fixed error level on a se…
University of Colorado Boulder（科罗拉多大学博尔德分校）；IBM Research Ireland（IBM爱尔兰研究院）
This paper considers an online proximal-gradient method to track the minimizers of a composite convex function that may continuously evolve over time. The online proximal-gradient method is inexact, in the sense that: (i) it relies on an approximate first-order information of the smooth component of the cost; and, (ii) the proximal operator (with respect to the non-smooth term) may be computed only up to a certain precision. Under suitable assumptions, convergence of the error iterates is established for strongly convex cost functions. On the other hand, the dynamic regret is investigated when…
We propose an inexact variable-metric proximal point algorithm to accelerate gradient-based optimization algorithms. The proposed scheme, called QNing can be notably applied to incremental first-order methods such as the stochastic variance-reduced gradient descent algorithm (SVRG) and other randomized incremental optimization algorithms. QNing is also compatible with composite objectives, meaning that it has the ability to provide exactly sparse solutions when the objective involves a sparsity-inducing regularization. When combined with limited-memory BFGS rules, QNing is particularly effecti…
We consider non-differentiable dynamic optimization problems such as those arising in robotics and subspace tracking. Given the computational constraints and the time-varying nature of the problem, a low-complexity algorithm is desirable, while the accuracy of the solution may only increase slowly over time. We put forth the proximal online gradient descent (OGD) algorithm for tracking the optimum of a composite objective function comprising of a differentiable loss function and a non-differentiable regularizer. An online learning framework is considered and the gradient of the loss function i…
This paper shows how, in a quasi metric space, an inexact proximal algorithm with a generalized perturbation term appears to be a nice tool for Behavioral Sciences (Psychology, Economics, Management, Game theory,...). More precisely, the new perturbation term represents an index of resistance to change, defined as a "curved enough" function of the quasi distance between two successive iterates. Using this behavioral point of view, the present paper shows how such a generalized inexact proximal algorithm can modelize the formation of habits and routines in a striking way. This idea comes from a…
