论文标题

局部Lipschitz光滑目标的预处理加速梯度下降方法,并应用于非线性PDE的解决方案

Preconditioned accelerated gradient descent methods for locally Lipschitz smooth objectives with applications to the solution of nonlinear PDEs

论文作者

Park, Jea-Hyun, Salgado, Abner J., Wise, Steven M.

论文摘要

我们为应用Nesterov加速梯度下降法(AGD)应用于宽类偏微分方程(PDES)的溶液近似的理论基础。这是通过证明不变的集合和指数收敛速率的存在来实现的,当它应用预处理版本(PAGD)以最大程度地减少局部Lipschitz平滑,强烈凸出目标函数。我们引入了一个带有预处理的二阶普通微分方程(旋转),并表明PAGD是该ODE的明确时间散布,这需要自然的时间步长限制,以实现能量稳定性。在连续的时间级别,我们使用简单的能量参数显示了ODE解决方案对其稳态的指数收敛。在离散级别上,假设上述步长大小限制,证明了不变式集合的存在,并且通过模仿能量参数和持续级别的融合来得出PAGD方案收敛的匹配指数率。 PAGD方法在数值PDE中的应用使用某些非线性椭圆PDE证明了使用伪谱法进行空间离散化,并进行了几个数值实验。结果证实了PAGD方法的全局几何和网格尺寸无关的收敛性,其加速速率比预处理的梯度下降(PGD)方法得到了改善。

We develop a theoretical foundation for the application of Nesterov's accelerated gradient descent method (AGD) to the approximation of solutions of a wide class of partial differential equations (PDEs). This is achieved by proving the existence of an invariant set and exponential convergence rates when its preconditioned version (PAGD) is applied to minimize locally Lipschitz smooth, strongly convex objective functionals. We introduce a second-order ordinary differential equation (ODE) with a preconditioner built-in and show that PAGD is an explicit time-discretization of this ODE, which requires a natural time step restriction for energy stability. At the continuous time level, we show an exponential convergence of the ODE solution to its steady state using a simple energy argument. At the discrete level, assuming the aforementioned step size restriction, the existence of an invariant set is proved and a matching exponential rate of convergence of the PAGD scheme is derived by mimicking the energy argument and the convergence at the continuous level. Applications of the PAGD method to numerical PDEs are demonstrated with certain nonlinear elliptic PDEs using pseudo-spectral methods for spatial discretization, and several numerical experiments are conducted. The results confirm the global geometric and mesh size-independent convergence of the PAGD method, with an accelerated rate that is improved over the preconditioned gradient descent (PGD) method.

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