Verification of First-Order Methods for Parametric Quadratic Optimization
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866916693356314624 |
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| author | Ranjan, Vinit Stellato, Bartolomeo |
| author_facet | Ranjan, Vinit Stellato, Bartolomeo |
| contents | We introduce a numerical framework to verify the finite step convergence of first-order methods for parametric convex quadratic optimization. We formulate the verification problem as a mathematical optimization problem where we maximize a performance metric (e.g., fixed-point residual at the last iteration) subject to constraints representing proximal algorithm steps (e.g., linear system solutions, projections, or gradient steps). Our framework is highly modular because we encode a wide range of proximal algorithms as variations of two primitive steps: affine steps and element-wise maximum steps. Compared to standard convergence analysis and performance estimation techniques, we can explicitly quantify the effects of warm-starting by directly representing the sets where the initial iterates and parameters live. We show that the verification problem is NP-hard, and we construct strong semidefinite programming relaxations using various constraint tightening techniques. Numerical examples in nonnegative least squares, network utility maximization, Lasso, and optimal control show a significant reduction in pessimism of our framework compared to standard worst-case convergence analysis techniques. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_03331 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Verification of First-Order Methods for Parametric Quadratic Optimization Ranjan, Vinit Stellato, Bartolomeo Optimization and Control We introduce a numerical framework to verify the finite step convergence of first-order methods for parametric convex quadratic optimization. We formulate the verification problem as a mathematical optimization problem where we maximize a performance metric (e.g., fixed-point residual at the last iteration) subject to constraints representing proximal algorithm steps (e.g., linear system solutions, projections, or gradient steps). Our framework is highly modular because we encode a wide range of proximal algorithms as variations of two primitive steps: affine steps and element-wise maximum steps. Compared to standard convergence analysis and performance estimation techniques, we can explicitly quantify the effects of warm-starting by directly representing the sets where the initial iterates and parameters live. We show that the verification problem is NP-hard, and we construct strong semidefinite programming relaxations using various constraint tightening techniques. Numerical examples in nonnegative least squares, network utility maximization, Lasso, and optimal control show a significant reduction in pessimism of our framework compared to standard worst-case convergence analysis techniques. |
| title | Verification of First-Order Methods for Parametric Quadratic Optimization |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2403.03331 |