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Optimization and Control (math.OC)

Thu, 29 Jun 2023

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1.Moreau Envelope Based Difference-of-weakly-Convex Reformulation and Algorithm for Bilevel Programs

Authors:Lucy L. Gao, Jane J. Ye, Haian Yin, Shangzhi Zeng, Jin Zhang

Abstract: Recently, Ye et al. (Mathematical Programming 2023) designed an algorithm for solving a specific class of bilevel programs with an emphasis on applications related to hyperparameter selection, utilizing the difference of convex algorithm based on the value function approach reformulation. The proposed algorithm is particularly powerful when the lower level problem is fully convex , such as a support vector machine model or a least absolute shrinkage and selection operator model. In this paper, to suit more applications related to machine learning and statistics, we substantially weaken the underlying assumption from lower level full convexity to weak convexity. Accordingly, we propose a new reformulation using Moreau envelope of the lower level problem and demonstrate that this reformulation is a difference of weakly convex program. Subsequently, we develop a sequentially convergent algorithm for solving this difference of weakly convex program. To evaluate the effectiveness of our approach, we conduct numerical experiments on the bilevel hyperparameter selection problem from elastic net, sparse group lasso, and RBF kernel support vector machine models.

2.Sampling-Based Approaches for Multimarginal Optimal Transport Problems with Coulomb Cost

Authors:Yukuan Hu, Mengyu Li, Xin Liu, Cheng Meng

Abstract: The multimarginal optimal transport problem with Coulomb cost arises in quantum physics and is vital in understanding strongly correlated quantum systems. Its intrinsic curse of dimensionality can be overcome with a Monge-like ansatz. A nonconvex quadratic programmming then emerges after employing discretization and $\ell_1$ penalty. To globally solve this nonconvex problem, we adopt a grid refinements-based framework, in which a local solver is heavily invoked and hence significantly determines the overall efficiency. The block structure of this nonconvex problem suggests taking block coordinate descent-type methods as the local solvers, while the existing ones can get seriously afflicted with the poor scalability induced by the associated sparse-dense matrix multiplications. In this work, borrowing the tools from optimal transport, we develop novel methods that favor highly scalable schemes for subproblems and are completely free of the full matrix multiplications after introducing entrywise sampling. Convergence and asymptotic properties are built on the theory of random matrices. The numerical results on several typical physical systems corroborate the effectiveness and better scalability of our approach, which also allows the first visualization for the approximate optimal transport maps between electrons in three-dimensional contexts.

3.Approximate controllabillity of a 2D linear system related to the motion of two fluids with surface tension

Authors:Sebastien Court

Abstract: We consider a coupled system of partial differential equations describing the interactions between a closed free interface and two viscous incompressible fluids. The fluids are assumed to satisfy the incompressible Navier-Stokes equations in time-dependent domains that are determined by the free interface. The mean curvature of the interface induces a surface tension force that creates a jump of the Cauchy stress tensor on both sides. It influences the behavior of the surrounding fluids, and therefore the deformation of this interface via the equality of velocities. In dimension 2, the steady states correspond to immobile interfaces that are circles with all the same volume. Considering small displacements of steady states, we are lead to consider a linearized version of this system. We prove that the latter is approximately controllable to a given steady state for any time $T>0$ by the means of additional surface tension type forces, provided that the radius of the circle of reference does not coincide with a scaled zero of the Bessel function of first kind.

4.A Low-Power Hardware-Friendly Optimisation Algorithm With Absolute Numerical Stability and Convergence Guarantees

Authors:Anis Hamadouche, Yun Wu, Andrew M. Wallace, Joao F. C. Mota

Abstract: We propose Dual-Feedback Generalized Proximal Gradient Descent (DFGPGD) as a new, hardware-friendly, operator splitting algorithm. We then establish convergence guarantees under approximate computational errors and we derive theoretical criteria for the numerical stability of DFGPGD based on absolute stability of dynamical systems. We also propose a new generalized proximal ADMM that can be used to instantiate most of existing proximal-based composite optimization solvers. We implement DFGPGD and ADMM on FPGA ZCU106 board and compare them in light of FPGA's timing as well as resource utilization and power efficiency. We also perform a full-stack, application-to-hardware, comparison between approximate versions of DFGPGD and ADMM based on dynamic power/error rate trade-off, which is a new hardware-application combined metric.

5.A Counterexample to D. J. White's Theorem on a Vector-valued Extension of the Optimality Equations of a Markov Decision Process

Authors:Anas Mifrani

Abstract: It is well known that under the expected total reward criterion, the optimal value of a finite-horizon Markov decision process can be determined by solving a set of recursively defined equations backward in time. An extension of those equations to vector-valued processes was proposed by D. J. White in 1982. By means of a counterexample, we show that the assumptions underlying this extension are insufficient to guarantee its validity. A strong assumption on state dynamics is introduced to resolve this issue.

6.Improved Convergence Bounds For Operator Splitting Algorithms With Rare Extreme Errors

Authors:Anis Hamadouche, Andrew M. Wallace, Joao F. C. Mota

Abstract: In this paper, we improve upon our previous work[24,22] and establish convergence bounds on the objective function values of approximate proximal-gradient descent (AxPGD), approximate accelerated proximal-gradient descent (AxAPGD) and approximate proximal ADMM (AxWLM-ADMM) schemes. We consider approximation errors that manifest rare extreme events and we propagate their effects through iterations. We establish probabilistic asymptotic and non-asymptotic convergence bounds as functions of the range (upper/lower bounds) and variance of approximation errors. We use the derived bound to assess AxPGD in a sparse model predictive control of a spacecraft system and compare its accuracy with previously derived bounds.

7.Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach

Authors:Bingyan Han, Chi Seng Pun, Hoi Ying Wong

Abstract: This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we derive sufficient conditions for achieving the Nash equilibrium, which corresponds to a time-consistent (TC) robust policy, under mild technical assumptions. To illustrate our framework, we consider two scenarios of robust mean-variance analysis, namely with state- and control-dependent ambiguity aversion. We find numerically that with time inconsistency haunting the dynamic optimal controls, the ambiguity aversion enhances the effective risk aversion faster than the linear, implying that the ambiguity in the TIC cases is more impactful than that under the TC counterparts, e.g., expected utility maximization problems.

8.Consistency of sample-based stationary points for infinite-dimensional stochastic optimization

Authors:Johannes Milz

Abstract: We consider stochastic optimization problems with possibly nonsmooth integrands posed in Banach spaces and approximate these stochastic programs via a sample-based approaches. We establish the consistency of approximate Clarke stationary points of the sample-based approximations. Our framework is applied to risk-averse semilinear PDE-constrained optimization using the average value-at-risk and to risk-neutral bilinear PDE-constrained optimization.

9.Pupil-driven quantitative differential phase contrast imaging

Authors:Shuhe Zhang, Hao Wu, Tao Peng, Zeyu Ke, Meng Shao, Tos T. J. M. Berendschot, Jinhua Zhou

Abstract: In this research, we reveal the inborn but hitherto ignored properties of quantitative differential phase contrast (qDPC) imaging: the phase transfer function being an edge detection filter. Inspired by this, we highlighted the duality of qDPC between optics and pattern recognition, and propose a simple and effective qDPC reconstruction algorithm, termed Pupil-Driven qDPC (pd-qDPC), to facilitate the phase reconstruction quality for the family of qDPC-based phase reconstruction algorithms. We formed a new cost function in which modified L0-norm was used to represent the pupil-driven edge sparsity, and the qDPC convolution operator is duplicated in the data fidelity term to achieve automatic background removal. Further, we developed the iterative reweighted soft-threshold algorithms based on split Bregman method to solve this modified L0-norm problem. We tested pd-qDPC on both simulated and experimental data and compare against state-of-the-art (SOTA) methods including L2-norm, total variation regularization (TV-qDPC), isotropic-qDPC, and Retinex qDPC algorithms. Results show that our proposed model is superior in terms of phase reconstruction quality and implementation efficiency, in which it significantly increases the experimental robustness while maintaining the data fidelity. In general, the pd-qDPC enables the high-quality qDPC reconstruction without any modification of the optical system. It simplifies the system complexity and benefits the qDPC community and beyond including but not limited to cell segmentation and PTF learning based on the edge filtering property.

10.PANTR: A proximal algorithm with trust-region updates for nonconvex constrained optimization

Authors:Alexander Bodard, Pieter Pas, Panagiotis Patrinos

Abstract: This work presents PANTR, an efficient solver for nonconvex constrained optimization problems, that is well-suited as an inner solver for an augmented Lagrangian method. The proposed scheme combines forward-backward iterations with solutions to trust-region subproblems: the former ensures global convergence, whereas the latter enables fast update directions. We discuss how the algorithm is able to exploit exact Hessian information of the smooth objective term through a linear Newton approximation, while benefiting from the structure of box-constraints or l1-regularization. An open-source C++ implementation of PANTR is made available as part of the NLP solver library ALPAQA. Finally, the effectiveness of the proposed method is demonstrated in nonlinear model predictive control applications.

11.The Boosted Double-Proximal Subgradient Algorithm for Nonconvex Optimization

Authors:Francisco J. Aragón-Artacho, Pedro Pérez-Aros, David Torregrosa-Belén

Abstract: In this paper we introduce the Boosted Double-proximal Subgradient Algorithm (BDSA), a novel splitting algorithm designed to address general structured nonsmooth and nonconvex mathematical programs expressed as sums and differences of composite functions. BDSA exploits the combined nature of subgradients from the data and proximal steps, and integrates a line-search procedure to enhance its performance. While BDSA encompasses existing schemes proposed in the literature, it extends its applicability to more diverse problem domains. We establish the convergence of BDSA under the Kurdyka--Lojasiewicz property and provide an analysis of its convergence rate. To evaluate the effectiveness of BDSA, we introduce a novel family of challenging test functions with an abundance of critical points. We conduct comparative evaluations demonstrating its ability to effectively escape non-optimal critical points. Additionally, we present two practical applications of BDSA for testing its efficacy, namely, a constrained minimum-sum-of-squares clustering problem and a nonconvex generalization of Heron's problem.