论文标题

Perseus:一种简单而最佳的高阶方法,用于变异不等式

Perseus: A Simple and Optimal High-Order Method for Variational Inequalities

论文作者

Lin, Tianyi, Jordan, Michael. I.

论文摘要

本文解决了一个与简单且最佳的高级方法的设计有关的开放挑战性的问题,该方法用于解决平滑而单调的变化不平等(VIS)。 vi涉及在\ Mathcal {x} $中找到$ x^\ star \,以使$ \ langle f(x),x -x^\ star \ star \ rangle \ geq 0 $ for hast in \ mathcal {x} $的所有$ x \ for All $ x \我们考虑$ f $平滑的设置,最多$(p-1)^{th} $ - 订单派生词。对于$ p = 2 $,将立方正规化的牛顿方法扩展到$ o(ε^{ - 1})$的全局速率。可以通过替代二阶方法获得$ O(ε^{ - 2/3} \ log \ log(1/ε))$的提高速率,但是此方法需要一个非平凡的线路搜索过程作为内部循环。同样,已经证明基于线路搜索过程的高阶方法已显示出$ O(ε^{ - 2/(p+1)} \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log \ log(1/ε)$。但是,正如Nesterov强调的那样,此类程序并不一定意味着在大规模应用中的实际适用性,并且希望使用一种简单的高级VI方法来补充这些结果,该方法保留了更复杂方法的最佳性。我们提出了一个$ p^{th} $ - 订购方法,该方法\ textit {not}需要任何行搜索过程,并以$ o(ε^{ - 2/(p+1)})的速率将其收敛到弱解决方案。我们证明,通过在广义线性跨度假设下建立匹配的下限,我们的$ p^{th} $ - 在单调设置中是最佳的。我们的重新启动方法达到了平滑且均匀单调的VIS和局部超线速率的线性速率,以使平滑且强烈单调的VIS。我们的方法还达到了$ o(ε^{ - 2/p})$的全球速率,用于求解平滑和非单调的可满足薄荷状态的状态,并且在重新启动时,它达到了全球线性和局部超级线性速率,以使平滑和非单调的平滑和非单调酮可满足统一/强的薄荷条件。

This paper settles an open and challenging question pertaining to the design of simple and optimal high-order methods for solving smooth and monotone variational inequalities (VIs). A VI involves finding $x^\star \in \mathcal{X}$ such that $\langle F(x), x - x^\star\rangle \geq 0$ for all $x \in \mathcal{X}$. We consider the setting in which $F$ is smooth with up to $(p-1)^{th}$-order derivatives. For $p = 2$, the cubic regularized Newton method was extended to VIs with a global rate of $O(ε^{-1})$. An improved rate of $O(ε^{-2/3}\log\log(1/ε))$ can be obtained via an alternative second-order method, but this method requires a nontrivial line-search procedure as an inner loop. Similarly, high-order methods based on line-search procedures have been shown to achieve a rate of $O(ε^{-2/(p+1)}\log\log(1/ε))$. As emphasized by Nesterov, however, such procedures do not necessarily imply practical applicability in large-scale applications, and it would be desirable to complement these results with a simple high-order VI method that retains the optimality of the more complex methods. We propose a $p^{th}$-order method that does \textit{not} require any line search procedure and provably converges to a weak solution at a rate of $O(ε^{-2/(p+1)})$. We prove that our $p^{th}$-order method is optimal in the monotone setting by establishing a matching lower bound under a generalized linear span assumption. Our method with restarting attains a linear rate for smooth and uniformly monotone VIs and a local superlinear rate for smooth and strongly monotone VIs. Our method also achieves a global rate of $O(ε^{-2/p})$ for solving smooth and nonmonotone VIs satisfying the Minty condition and when augmented with restarting it attains a global linear and local superlinear rate for smooth and nonmonotone VIs satisfying the uniform/strong Minty condition.

扫码加入交流群

加入微信交流群

微信交流群二维码

扫码加入学术交流群,获取更多资源