论文标题

跟踪和遗憾的界限用于在线零好的欧几里得和里曼尼亚优化

Tracking and regret bounds for online zeroth-order Euclidean and Riemannian optimisation

论文作者

Maass, Alejandro I., Manzie, Chris, Nesic, Dragan, Manton, Jonathan H., Shames, Iman

论文摘要

我们研究了使用零阶信息来最大程度地减少riemannian歧管上的时变大量符合成本函数的数值优化算法。在欧几里得的环境中,在随时间变化和时间不变的情况下,零阶算法都引起了很多关注。但是,对Riemannian歧管的扩展要少得多。我们专注于Hadamard歧管,这是一类特殊的Riemannian歧管,具有全球非阳性曲率,为凸出概念的概括提供了方便的理由。具体而言,我们在预期的瞬时跟踪误差上得出界限,并提供算法参数值,以最大程度地减少该算法的性能。我们的结果说明了通过截面曲率的流形几何形状如何影响这些界限。此外,我们为此在线优化设置提供动态的遗憾界限。据我们所知,即使对于欧几里得版本的问题,这些都是第一个遗憾的界限。最后,通过数值模拟,我们证明了算法在在线Karcher均值问题上的适用性。

We study numerical optimisation algorithms that use zeroth-order information to minimise time-varying geodesically-convex cost functions on Riemannian manifolds. In the Euclidean setting, zeroth-order algorithms have received a lot of attention in both the time-varying and time-invariant cases. However, the extension to Riemannian manifolds is much less developed. We focus on Hadamard manifolds, which are a special class of Riemannian manifolds with global nonpositive curvature that offer convenient grounds for the generalisation of convexity notions. Specifically, we derive bounds on the expected instantaneous tracking error, and we provide algorithm parameter values that minimise the algorithm's performance. Our results illustrate how the manifold geometry in terms of the sectional curvature affects these bounds. Additionally, we provide dynamic regret bounds for this online optimisation setting. To the best of our knowledge, these are the first regret bounds even for the Euclidean version of the problem. Lastly, via numerical simulations, we demonstrate the applicability of our algorithm on an online Karcher mean problem.

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