Faster Projection-Free Augmented Lagrangian Methods via Weak Proximal Oracle

Dan Garber, Tsur Livney, Shoham Sabach
Proceedings of The 26th International Conference on Artificial Intelligence and Statistics, PMLR 206:7213-7238, 2023.

Abstract

This paper considers a convex composite optimization problem with affine constraints, which includes problems that take the form of minimizing a smooth convex objective function over the intersection of (simple) convex sets, or regularized with multiple (simple) functions. Motivated by high-dimensional applications in which exact projection/proximal computations are not tractable, we propose a projection-free augmented Lagrangian-based method, in which primal updates are carried out using a weak proximal oracle (WPO). In an earlier work, WPO was shown to be more powerful than the standard linear minimization oracle (LMO) that underlies conditional gradient-based methods (aka Frank-Wolfe methods). Moreover, WPO is computationally tractable for many high-dimensional problems of interest, including those motivated by recovery of low-rank matrices and tensors, and optimization over polytopes which admit efficient LMOs. The main result of this paper shows that under a certain curvature assumption (which is weaker than strong convexity), our WPO-based algorithm achieves an ergodic rate of convergence of $O(1/T)$ for both the objective residual and feasibility gap. This result, to the best of our knowledge, improves upon the $O(1/\sqrt{T})$ rate for existing LMO-based projection-free methods for this class of problems. Empirical experiments on a low-rank and sparse covariance matrix estimation task and the Max Cut semidefinite relaxation demonstrate that of our method can outperform state-of-the-art LMO-based Lagrangian-based methods.

Cite this Paper


BibTeX
@InProceedings{pmlr-v206-garber23a, title = {Faster Projection-Free Augmented Lagrangian Methods via Weak Proximal Oracle}, author = {Garber, Dan and Livney, Tsur and Sabach, Shoham}, booktitle = {Proceedings of The 26th International Conference on Artificial Intelligence and Statistics}, pages = {7213--7238}, year = {2023}, editor = {Ruiz, Francisco and Dy, Jennifer and van de Meent, Jan-Willem}, volume = {206}, series = {Proceedings of Machine Learning Research}, month = {25--27 Apr}, publisher = {PMLR}, pdf = {https://proceedings.mlr.press/v206/garber23a/garber23a.pdf}, url = {https://proceedings.mlr.press/v206/garber23a.html}, abstract = {This paper considers a convex composite optimization problem with affine constraints, which includes problems that take the form of minimizing a smooth convex objective function over the intersection of (simple) convex sets, or regularized with multiple (simple) functions. Motivated by high-dimensional applications in which exact projection/proximal computations are not tractable, we propose a projection-free augmented Lagrangian-based method, in which primal updates are carried out using a weak proximal oracle (WPO). In an earlier work, WPO was shown to be more powerful than the standard linear minimization oracle (LMO) that underlies conditional gradient-based methods (aka Frank-Wolfe methods). Moreover, WPO is computationally tractable for many high-dimensional problems of interest, including those motivated by recovery of low-rank matrices and tensors, and optimization over polytopes which admit efficient LMOs. The main result of this paper shows that under a certain curvature assumption (which is weaker than strong convexity), our WPO-based algorithm achieves an ergodic rate of convergence of $O(1/T)$ for both the objective residual and feasibility gap. This result, to the best of our knowledge, improves upon the $O(1/\sqrt{T})$ rate for existing LMO-based projection-free methods for this class of problems. Empirical experiments on a low-rank and sparse covariance matrix estimation task and the Max Cut semidefinite relaxation demonstrate that of our method can outperform state-of-the-art LMO-based Lagrangian-based methods.} }
Endnote
%0 Conference Paper %T Faster Projection-Free Augmented Lagrangian Methods via Weak Proximal Oracle %A Dan Garber %A Tsur Livney %A Shoham Sabach %B Proceedings of The 26th International Conference on Artificial Intelligence and Statistics %C Proceedings of Machine Learning Research %D 2023 %E Francisco Ruiz %E Jennifer Dy %E Jan-Willem van de Meent %F pmlr-v206-garber23a %I PMLR %P 7213--7238 %U https://proceedings.mlr.press/v206/garber23a.html %V 206 %X This paper considers a convex composite optimization problem with affine constraints, which includes problems that take the form of minimizing a smooth convex objective function over the intersection of (simple) convex sets, or regularized with multiple (simple) functions. Motivated by high-dimensional applications in which exact projection/proximal computations are not tractable, we propose a projection-free augmented Lagrangian-based method, in which primal updates are carried out using a weak proximal oracle (WPO). In an earlier work, WPO was shown to be more powerful than the standard linear minimization oracle (LMO) that underlies conditional gradient-based methods (aka Frank-Wolfe methods). Moreover, WPO is computationally tractable for many high-dimensional problems of interest, including those motivated by recovery of low-rank matrices and tensors, and optimization over polytopes which admit efficient LMOs. The main result of this paper shows that under a certain curvature assumption (which is weaker than strong convexity), our WPO-based algorithm achieves an ergodic rate of convergence of $O(1/T)$ for both the objective residual and feasibility gap. This result, to the best of our knowledge, improves upon the $O(1/\sqrt{T})$ rate for existing LMO-based projection-free methods for this class of problems. Empirical experiments on a low-rank and sparse covariance matrix estimation task and the Max Cut semidefinite relaxation demonstrate that of our method can outperform state-of-the-art LMO-based Lagrangian-based methods.
APA
Garber, D., Livney, T. & Sabach, S.. (2023). Faster Projection-Free Augmented Lagrangian Methods via Weak Proximal Oracle. Proceedings of The 26th International Conference on Artificial Intelligence and Statistics, in Proceedings of Machine Learning Research 206:7213-7238 Available from https://proceedings.mlr.press/v206/garber23a.html.

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