On the convergence of proximal gradient methods for convex simple bilevel optimization
Fuente:
arXiv
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| Autores principales: | , , , |
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| Formato: | Preprint |
| Publicado: |
2023
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| Acceso en línea: | |
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| _version_ | 1866914698769727488 |
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| author | Latafat, Puya Themelis, Andreas Villa, Silvia Patrinos, Panagiotis |
| author_facet | Latafat, Puya Themelis, Andreas Villa, Silvia Patrinos, Panagiotis |
| contents | This paper studies proximal gradient iterations for solving simple bilevel optimization problems where both the upper and the lower level cost functions are split as the sum of differentiable and (possibly nonsmooth) proximable functions. We develop a novel convergence recipe for iteration varying stepsizes that relies on Barzilai-Borwein type local estimates for the differentiable terms. Leveraging the convergence recipe, under global Lipschitz gradient continuity, we establish convergence for a nonadaptive stepsize sequence, without requiring any strong convexity or linesearch. In the locally Lipschitz differentiable setting, we develop an adaptive linesearch method that introduces a systematic adaptive scheme enabling large and nonmonotonic stepsize sequences while being insensitive to the choice of hyperparameters and initialization. Numerical simulations are provided showcasing favorable convergence speed of our methods. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2305_03559 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | On the convergence of proximal gradient methods for convex simple bilevel optimization Latafat, Puya Themelis, Andreas Villa, Silvia Patrinos, Panagiotis Optimization and Control 65K05, 90C06, 90C25, 90C30 This paper studies proximal gradient iterations for solving simple bilevel optimization problems where both the upper and the lower level cost functions are split as the sum of differentiable and (possibly nonsmooth) proximable functions. We develop a novel convergence recipe for iteration varying stepsizes that relies on Barzilai-Borwein type local estimates for the differentiable terms. Leveraging the convergence recipe, under global Lipschitz gradient continuity, we establish convergence for a nonadaptive stepsize sequence, without requiring any strong convexity or linesearch. In the locally Lipschitz differentiable setting, we develop an adaptive linesearch method that introduces a systematic adaptive scheme enabling large and nonmonotonic stepsize sequences while being insensitive to the choice of hyperparameters and initialization. Numerical simulations are provided showcasing favorable convergence speed of our methods. |
| title | On the convergence of proximal gradient methods for convex simple bilevel optimization |
| topic | Optimization and Control 65K05, 90C06, 90C25, 90C30 |
| url | https://arxiv.org/abs/2305.03559 |