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arXiv math/0512344math.OC
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具有近似梯度的光滑Optimization

Smooth Optimization with Approximate Gradient

Alexandre d'Aspremont

摘要:

我们表明,Nesterov的光滑的一阶优化算法的最佳复杂性被保存时,梯度只计算到一个小的,一致有界的错误。在半定规划的应用中,这意味着在某些情况下只计算当前矩阵的几个前导特征值,而不是一个完整的矩阵指数,这大大降低了方法的计算成本。这也允许稀疏的问题,以有效地解决使用稀疏的最大特征值包。

英文摘要:

We show that the optimal complexity of Nesterov's smooth first-order optimization algorithm is preserved when the gradient is only computed up to a small, uniformly bounded error. In applications of this method to semidefinite programs, this means in some instances computing only a few leading eigenvalues of the current iterate instead of a full matrix exponential, which significantly reduces the method's computational cost. This also allows sparse problems to be solved efficiently using sparse maximum eigenvalue packages.

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