论文标题

凸优化中的生物三相贪婪算法

Biorthogonal Greedy Algorithms in Convex Optimization

论文作者

Dereventsov, Anton, Temlyakov, Vladimir

论文摘要

在凸优化的背景下,贪婪近似的研究已成为一个有前途的研究方向,因为贪婪算法正在积极地用于构建相对于给定的元素集的凸功能的稀疏最小化器。在本文中,我们提出了一种分析某种贪婪型算法的统一方法,以最大程度地减少Banach空间上的凸函数。具体而言,我们定义了包含各种贪婪算法的凸优化的弱生物三相贪婪算法的类别。我们分析了引入的算法类别,并建立了收敛性,收敛速率和数值稳定性的特性,这是从允许算法的步骤不精确执行的,而是以受控的计算不准确性来理解。我们表明,凸优化的以下众所周知的算法 - 弱的Chebyshev贪婪算法(CO)和带有自由放松的弱贪婪算法(CO) - 属于该类别,并引入了一种新的算法 - 新算法 - 重新降低了弱的贪婪的贪婪的贪婪算法(CO)。与正则化相比,提出的数值实验证明了上述贪婪算法在凸最小化的情况下的实际性能,与正则化的优化相比,这是构造稀少最小化器的常规方法。

The study of greedy approximation in the context of convex optimization is becoming a promising research direction as greedy algorithms are actively being employed to construct sparse minimizers for convex functions with respect to given sets of elements. In this paper we propose a unified way of analyzing a certain kind of greedy-type algorithms for the minimization of convex functions on Banach spaces. Specifically, we define the class of Weak Biorthogonal Greedy Algorithms for convex optimization that contains a wide range of greedy algorithms. We analyze the introduced class of algorithms and establish the properties of convergence, rate of convergence, and numerical stability, which is understood in the sense that the steps of the algorithm are allowed to be performed not precisely but with controlled computational inaccuracies. We show that the following well-known algorithms for convex optimization -- the Weak Chebyshev Greedy Algorithm (co) and the Weak Greedy Algorithm with Free Relaxation (co) -- belong to this class, and introduce a new algorithm -- the Rescaled Weak Relaxed Greedy Algorithm (co). Presented numerical experiments demonstrate the practical performance of the aforementioned greedy algorithms in the setting of convex minimization as compared to optimization with regularization, which is the conventional approach of constructing sparse minimizers.

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