论文标题

PEPIT:Python中一阶优化方法的计算机辅助最坏情况分析

PEPit: computer-assisted worst-case analyses of first-order optimization methods in Python

论文作者

Goujaud, Baptiste, Moucer, Céline, Glineur, François, Hendrickx, Julien, Taylor, Adrien, Dieuleveut, Aymeric

论文摘要

PEPIT是一个Python软件包,旨在简化对可能涉及梯度,投影,近端或线性优化的Oracles的大型一阶优化方法的最坏情况分析的访问,以及它们的大约或Bregman变体。简而言之,PEPIT是一个软件包,可以对一阶优化方法进行计算机辅助的最坏情况分析。关键的基本思想是提出执行最坏情况分析的问题,通常称为绩效估计问题(PEP),作为半决赛程序(SDP),可以通过数值解决。为此,包装用户只需要按照实施它们来编写一阶方法。然后,该软件包要照顾SDP建模零件,而最坏情况分析是通过标准求解器进行数值执行的。

PEPit is a Python package aiming at simplifying the access to worst-case analyses of a large family of first-order optimization methods possibly involving gradient, projection, proximal, or linear optimization oracles, along with their approximate, or Bregman variants. In short, PEPit is a package enabling computer-assisted worst-case analyses of first-order optimization methods. The key underlying idea is to cast the problem of performing a worst-case analysis, often referred to as a performance estimation problem (PEP), as a semidefinite program (SDP) which can be solved numerically. To do that, the package users are only required to write first-order methods nearly as they would have implemented them. The package then takes care of the SDP modeling parts, and the worst-case analysis is performed numerically via a standard solver.

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