论文标题
分支与结合性能估计编程:构建最佳优化方法的统一方法
Branch-and-Bound Performance Estimation Programming: A Unified Methodology for Constructing Optimal Optimization Methods
论文作者
论文摘要
我们介绍了分支结合的性能估计编程(BNB-PEP),这是一种统一的方法,用于构建用于凸和非convex优化的最佳一阶方法。 BNB-PEP提出了找到最佳优化方法作为非convex的问题,但实际上可以使用自定义的分支和结合算法来解决可认证的全局优化问题,并将其求解为可认证的全局最优性。通过直接面对非概念性,BNB-PEP提供了更大的灵活性,并消除了先前方法的许多局限性。通过利用特定的问题结构,我们定制的分支机构和结合算法优于最新的现成实现,从数量级来加速解决方案时间,从小时到几秒钟,几周到几分钟。我们将BNB-PEP应用于几个设置,这些设置不适用,并获得具有改进先前最新结果的界限的方法。最后,我们使用BNB-PEP方法来找到具有潜在功能结构的证明,从而系统地生成了分析收敛的证明。
We present the Branch-and-Bound Performance Estimation Programming (BnB-PEP), a unified methodology for constructing optimal first-order methods for convex and nonconvex optimization. BnB-PEP poses the problem of finding the optimal optimization method as a nonconvex but practically tractable quadratically constrained quadratic optimization problem and solves it to certifiable global optimality using a customized branch-and-bound algorithm. By directly confronting the nonconvexity, BnB-PEP offers significantly more flexibility and removes the many limitations of the prior methodologies. Our customized branch-and-bound algorithm, through exploiting specific problem structures, outperforms the latest off-the-shelf implementations by orders of magnitude, accelerating the solution time from hours to seconds and weeks to minutes. We apply BnB-PEP to several setups for which the prior methodologies do not apply and obtain methods with bounds that improve upon prior state-of-the-art results. Finally, we use the BnB-PEP methodology to find proofs with potential function structures, thereby systematically generating analytical convergence proofs.