论文标题

实现Oracle结构捆绑捆绑方法以进行优化

Implementation of an Oracle-Structured Bundle Method for Distributed Optimization

论文作者

Parshakova, Tetiana, Zhang, Fangzhao, Boyd, Stephen

论文摘要

我们考虑最小化函数的问题,该功能是凸代理函数的总和以及将它们耦合的凸公共函数。只能通过亚级别的Oracle访问代理功能;假定公共功能是在域特定语言(DSL)中进行构造和表达的,以进行凸优化。我们关注的是,当评估代理人需要大量努力的情况下,这证明了在每次迭代中进行大量计算的解决方案方法的合理性。为了解决这个问题,我们集成了用于捆绑算法的多种已知技术(或已知技术的适应),获得了一种方法,该方法比与我们的访问方法兼容的其他方法具有许多实用的优势,例如近端亚级别方法。首先,它是可靠的,并且在许多应用程序中运行良好。其次,它几乎需要调整的参数,并且可以与明智的默认值配合使用。第三,它通常在仅几十次迭代中产生合理的近似解决方案。本文伴随着提出的求解器的开源实现,可在\ url {https://github.com/cvxgrp/osbdo}上获得。

We consider the problem of minimizing a function that is a sum of convex agent functions plus a convex common public function that couples them. The agent functions can only be accessed via a subgradient oracle; the public function is assumed to be structured and expressible in a domain specific language (DSL) for convex optimization. We focus on the case when the evaluation of the agent oracles can require significant effort, which justifies the use of solution methods that carry out significant computation in each iteration. To solve this problem we integrate multiple known techniques (or adaptations of known techniques) for bundle-type algorithms, obtaining a method which has a number of practical advantages over other methods that are compatible with our access methods, such as proximal subgradient methods. First, it is reliable, and works well across a number of applications. Second, it has very few parameters that need to be tuned, and works well with sensible default values. Third, it typically produces a reasonable approximate solution in just a few tens of iterations. This paper is accompanied by an open-source implementation of the proposed solver, available at \url{https://github.com/cvxgrp/OSBDO}.

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