Convergence Rates of Gradient Methods for Convex Optimization in the Space of Measures
We study the convergence rate of Bregman gradient methods for convex optimization in the space of measures on a $d$-dimensional manifold. Under basic regularity assumptions, we show that the suboptimality gap at iteration $k$ is in $O(\log (k)k^{-1})$ for multiplicative updates, while it is in $O(k^...
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Université de Montpellier
2023-01-01
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| Series: | Open Journal of Mathematical Optimization |
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| Online Access: | https://ojmo.centre-mersenne.org/articles/10.5802/ojmo.20/ |
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| author | Chizat, Lénaïc |
| author_facet | Chizat, Lénaïc |
| author_sort | Chizat, Lénaïc |
| collection | DOAJ |
| description | We study the convergence rate of Bregman gradient methods for convex optimization in the space of measures on a $d$-dimensional manifold. Under basic regularity assumptions, we show that the suboptimality gap at iteration $k$ is in $O(\log (k)k^{-1})$ for multiplicative updates, while it is in $O(k^{-q/(d+q)})$ for additive updates for some $q\in \lbrace 1,2,4\rbrace $ determined by the structure of the objective function. Our flexible proof strategy, based on approximation arguments, allows us to painlessly cover all Bregman Proximal Gradient Methods (PGM) and their acceleration (APGM) under various geometries such as the hyperbolic entropy and $L^p$ divergences. We also prove the tightness of our analysis with matching lower bounds and confirm the theoretical results with numerical experiments on low dimensional problems. Note that all these optimization methods must additionally pay the computational cost of discretization, which can be exponential in $d$. |
| format | Article |
| id | doaj-art-c635d1c8f7c44f52a9cf3120fb43dc05 |
| institution | Kabale University |
| issn | 2777-5860 |
| language | English |
| publishDate | 2023-01-01 |
| publisher | Université de Montpellier |
| record_format | Article |
| series | Open Journal of Mathematical Optimization |
| spelling | doaj-art-c635d1c8f7c44f52a9cf3120fb43dc052025-02-07T14:02:44ZengUniversité de MontpellierOpen Journal of Mathematical Optimization2777-58602023-01-01311910.5802/ojmo.2010.5802/ojmo.20Convergence Rates of Gradient Methods for Convex Optimization in the Space of MeasuresChizat, Lénaïc0Institute of Mathematics École polytechnique fédérale de Lausanne (EPFL), SwitzerlandWe study the convergence rate of Bregman gradient methods for convex optimization in the space of measures on a $d$-dimensional manifold. Under basic regularity assumptions, we show that the suboptimality gap at iteration $k$ is in $O(\log (k)k^{-1})$ for multiplicative updates, while it is in $O(k^{-q/(d+q)})$ for additive updates for some $q\in \lbrace 1,2,4\rbrace $ determined by the structure of the objective function. Our flexible proof strategy, based on approximation arguments, allows us to painlessly cover all Bregman Proximal Gradient Methods (PGM) and their acceleration (APGM) under various geometries such as the hyperbolic entropy and $L^p$ divergences. We also prove the tightness of our analysis with matching lower bounds and confirm the theoretical results with numerical experiments on low dimensional problems. Note that all these optimization methods must additionally pay the computational cost of discretization, which can be exponential in $d$.https://ojmo.centre-mersenne.org/articles/10.5802/ojmo.20/Gradient DescentConvergence rateSpace of measuresConvex OptimizationBanach space |
| spellingShingle | Chizat, Lénaïc Convergence Rates of Gradient Methods for Convex Optimization in the Space of Measures Open Journal of Mathematical Optimization Gradient Descent Convergence rate Space of measures Convex Optimization Banach space |
| title | Convergence Rates of Gradient Methods for Convex Optimization in the Space of Measures |
| title_full | Convergence Rates of Gradient Methods for Convex Optimization in the Space of Measures |
| title_fullStr | Convergence Rates of Gradient Methods for Convex Optimization in the Space of Measures |
| title_full_unstemmed | Convergence Rates of Gradient Methods for Convex Optimization in the Space of Measures |
| title_short | Convergence Rates of Gradient Methods for Convex Optimization in the Space of Measures |
| title_sort | convergence rates of gradient methods for convex optimization in the space of measures |
| topic | Gradient Descent Convergence rate Space of measures Convex Optimization Banach space |
| url | https://ojmo.centre-mersenne.org/articles/10.5802/ojmo.20/ |
| work_keys_str_mv | AT chizatlenaic convergenceratesofgradientmethodsforconvexoptimizationinthespaceofmeasures |