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Gradient methods for problems with inexact model of the objective
2020, Stonyakin, Fedor, Dvinskikh, Darina, Dvurechensky, Pavel, Kroshnin, Alexey, Kuznetsova, Olesya, Agafonov, Artem, Gasnikov, Alexander, Tyurin, Alexander, Uribe, Cesar A., Pasechnyuk, Dmitry, Artamonov, Sergei
We consider optimization methods for convex minimization problems under inexact information on the objective function. We introduce inexact model of the objective, which as a particular cases includes inexact oracle [19] and relative smoothness condition [43]. We analyze gradient method which uses this inexact model and obtain convergence rates for convex and strongly convex problems. To show potential applications of our general framework we consider three particular problems. The first one is clustering by electorial model introduced in [49]. The second one is approximating optimal transport distance, for which we propose a Proximal Sinkhorn algorithm. The third one is devoted to approximating optimal transport barycenter and we propose a Proximal Iterative Bregman Projections algorithm. We also illustrate the practical performance of our algorithms by numerical experiments.
Inexact model: A framework for optimization and variational inequalities
2020, Stonyakin, Fedor, Gasnikov, Alexander, Tyurin, Alexander, Pasechnyuk, Dmitry, Agafonov, Artem, Dvurechensky, Pavel, Dvinskikh, Darina, Piskunova, Victorya
In this paper we propose a general algorithmic framework for first-order methods in optimization in a broad sense, including minimization problems, saddle-point problems and variational inequalities. This framework allows to obtain many known methods as a special case, the list including accelerated gradient method, composite optimization methods, level-set methods, proximal methods. The idea of the framework is based on constructing an inexact model of the main problem component, i.e. objective function in optimization or operator in variational inequalities. Besides reproducing known results, our framework allows to construct new methods, which we illustrate by constructing a universal method for variational inequalities with composite structure. This method works for smooth and non-smooth problems with optimal complexity without a priori knowledge of the problem smoothness. We also generalize our framework for strongly convex objectives and strongly monotone variational inequalities.
Inexact relative smoothness and strong convexity for optimization and variational inequalities by inexact model
2020, Stonyakin, Fedor, Gasnikov, Alexander, Tyurin, Alexander, Pasechnyuk, Dmitry, Agafonov, Artem, Dvurechensky, Pavel, Dvinskikh, Darina, Artamonov, Sergei, Piskunova, Victorya
In this paper we propose a general algorithmic framework for first-order methods in optimization in a broad sense, including minimization problems, saddle-point problems and variational inequalities. This framework allows to obtain many known methods as a special case, the list including accelerated gradient method, composite optimization methods, level-set methods, Bregman proximal methods. The idea of the framework is based on constructing an inexact model of the main problem component, i.e. objective function in optimization or operator in variational inequalities. Besides reproducing known results, our framework allows to construct new methods, which we illustrate by constructing a universal conditional gradient method and universal method for variational inequalities with composite structure. These method works for smooth and non-smooth problems with optimal complexity without a priori knowledge of the problem smoothness. As a particular case of our general framework, we introduce relative smoothness for operators and propose an algorithm for VIs with such operator. We also generalize our framework for relatively strongly convex objectives and strongly monotone variational inequalities.