论文标题
立方正规化子问题的近似世俗方程
Approximate Secular Equations for the Cubic Regularization Subproblem
论文作者
论文摘要
立方正则化方法(CR)是一种流行的算法,用于无限制的非凸优化。在每次迭代中,CR解决了一个立方正规化的二次问题,称为立方正则化子问题(CRS)。解决CRS的一种方法依赖于解决世俗方程,其计算瓶颈在于计算Hessian矩阵的所有特征值。在本文中,我们根据近似的世俗方程提出和分析了一种新颖的CRS求解器,该方程仅需要一些Hessian特征值,因此更有效。开发了两个近似的世俗方程(ASE)。对于这两个ASE,我们首先研究其根的存在和独特性,然后在词根和标准世俗方程之间的间隙上建立上限。这样的上限可以依次将其与真正的CRS解决方案相结合,从而为我们的CRS求解器提供理论保证。我们的CRS求解器的一个理想特征是它仅需要矩阵向量乘法,而不需要矩阵反转,这使其特别适合于无约束的非凸优化的高维应用,例如低级别恢复和深度学习。进行合成和实际数据集的数值实验是为了研究拟议的CRS求解器的实际性能。实验结果表明,所提出的求解器的表现优于两种最先进的方法。
The cubic regularization method (CR) is a popular algorithm for unconstrained non-convex optimization. At each iteration, CR solves a cubically regularized quadratic problem, called the cubic regularization subproblem (CRS). One way to solve the CRS relies on solving the secular equation, whose computational bottleneck lies in the computation of all eigenvalues of the Hessian matrix. In this paper, we propose and analyze a novel CRS solver based on an approximate secular equation, which requires only some of the Hessian eigenvalues and is therefore much more efficient. Two approximate secular equations (ASEs) are developed. For both ASEs, we first study the existence and uniqueness of their roots and then establish an upper bound on the gap between the root and that of the standard secular equation. Such an upper bound can in turn be used to bound the distance from the approximate CRS solution based ASEs to the true CRS solution, thus offering a theoretical guarantee for our CRS solver. A desirable feature of our CRS solver is that it requires only matrix-vector multiplication but not matrix inversion, which makes it particularly suitable for high-dimensional applications of unconstrained non-convex optimization, such as low-rank recovery and deep learning. Numerical experiments with synthetic and real data-sets are conducted to investigate the practical performance of the proposed CRS solver. Experimental results show that the proposed solver outperforms two state-of-the-art methods.