Population Based Optimization On Riemannian Manifolds

Author : Dewei Zhang (Ph. D. in systems engineering)
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)

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Download or read book On Deterministic and Stochastic Optimization Algorithms for Problems with Riemannian Manifold Constraints written by Dewei Zhang (Ph. D. in systems engineering) and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimization methods have been extensively studied given their broad applications in areas such as applied mathematics, statistics, engineering, healthcare, business, and finance. In the past two decades, the fast growth of machine learning and artificial intelligence and their increasing applications in different industries have resulted in various optimization challenges related to scalability, uncertainty, or requirement to satisfy certain constraints. This dissertation mainly looks into the optimization problems where their solutions are required to satisfy certain (possibly nonlinear) constraints, \emph{namely} Riemannian manifold constraints or they should satisfy certain sparsity structures in conformance with directed acyclic graphs. More specifically, this dissertation explores the following research directions. \begin{enumerate} \item To optimize objective functions in form of finite-sum over Riemannian manifolds, the dissertation proposes a stochastic variance-reduced cubic regularized Newton algorithm in Chapter~\ref{chapter2:cubic}. The proposed algorithm requires a full gradient and Hessian updates at the beginning of each epoch while it performs stochastic variance-reduced updates in the iterations within each epoch. The iteration complexity of the algorithm to obtain an $(\epsilon,\sqrt{\epsilon})$-second order stationary point, i.e., a point with the Riemannian gradient norm upper bounded by $\epsilon$ and minimum eigenvalue of Riemannian Hessian eigenvalue lower bounded by $-\sqrt{\epsilon}$, is shown to be $O(\epsilon^{-3/2})$. Furthermore, this dissertation proposes a computationally more appealing extension of the algorithm which only requires an \emph{inexact} solution of the cubic regularized Newton subproblem with the same iteration complexity. \item To optimize the nested composition of two or more functions containing expectations over Riemannian manifolds, this dissertation proposes multi-level stochastic compositional algorithms in Chpter~\ref{chapter3:compositional}. For two-level compositional optimization, the dissertation presents a Riemannian Stochastic Compositional Gradient Descent (R-SCGD) method that finds an approximate stationary point, with expected squared Riemannian gradient smaller than $\epsilon$, in $\cO(\epsilon^{-2})$ calls to the stochastic gradient oracle of the outer function and stochastic function and gradient oracles of the inner function. Furthermore, this dissertation generalizes the R-SCGD algorithms for problems with multi-level nested compositional structures, with the same complexity of $\cO(\epsilon^{-2})$ for first-order stochastic oracles. \item In many statistical learning problems, it is desired that the optimal solution conforms to an a priori known sparsity structure represented by a directed acyclic graph. Inducing such structures by means of convex regularizers requires nonsmooth penalty functions that exploit group overlapping. Chapter~\ref{chap4_HSS} investigates evaluating the proximal operator of the Latent Overlapping Group lasso through an optimization algorithm with parallelizable subproblems. This dissertation implements an Alternating Direction Method of Multiplier with a sharing scheme to solve large-scale instances of the underlying optimization problem efficiently. In the absence of strong convexity, global linear convergence of the algorithm is established using the error bound theory. More specifically, this work also contributes to establishing primal and dual error bounds when the nonsmooth component in the objective function \emph{does not have a polyhedral epigraph}. \end{enumerate} The theoretical results established in each chapter are numerically verified through carefully designed simulation studies and also implemented on real applications with real data sets.