OpReg-Boost: Learning to Accelerate Online Algorithms with Operator Regression
Proceedings of The 4th Annual Learning for Dynamics and Control Conference, PMLR 168:138-152, 2022.
This paper presents a new regularization approach – termed OpReg-Boost – to boost the convergence of online optimization and learning algorithms. In particular, the paper considers online algorithms for optimization problems with a time-varying (weakly) convex composite cost. For a given online algorithm, OpReg-Boost learns the closest algorithmic map that yields linear convergence; to this end, the learning procedure hinges on the concept of operator regression. We show how to formalize the operator regression problem and propose a computationally-efficient Peaceman-Rachford solver that exploits a closed-form solution of simple quadratically-constrained quadratic programs (QCQPs). Simulation results showcase the superior properties of OpReg-Boost w.r.t. the more classical forward-backward algorithm, FISTA, and Anderson acceleration.