论文标题

优化算法的分析,一种耗散方法

The Analysis of Optimization Algorithms, A Dissipativity Approach

论文作者

Lessard, Laurent

论文摘要

通过系统地调整感兴趣的变量,直到找到足够的解决方案,通常以迭代方式解决工程和应用数学的优化问题。控制这些系统调整的迭代算法可以看作是控制系统。在控制系统中,使用反馈将误差驱动为零,测量和输入中的输出进行调整。同样,在迭代算法中,评估了优化目标,并调整了候选解决方案以将其驱动到最佳点。选择一种适合各种优化问题的算法类似于强大的控制器设计。正如耗散性理论可用于分析控制系统的稳定性,也可以用于分析迭代算法的收敛性。通过定义适当的“能量”概念,该概念可以随着算法的每一个迭代而消散,可以表征算法的收敛性能。本文正式将迭代算法与控制系统之间的联系形式化,并通过示例说明了如何使用耗散理论来分析许多类别的优化算法的性能。此控制理论观点使得可以选择和调整优化算法以自动化和系统的方式执行。

Optimization problems in engineering and applied mathematics are typically solved in an iterative fashion, by systematically adjusting the variables of interest until an adequate solution is found. The iterative algorithms that govern these systematic adjustments can be viewed as a control system. In control systems, the output in measured and the input is adjusted using feedback to drive the error to zero. Similarly, in iterative algorithms, the optimization objective is evaluated and the candidate solution is adjusted to drive it toward the optimal point. Choosing an algorithm that works well for a variety of optimization problems is akin to robust controller design. Just as dissipativity theory can be used to analyze the stability properties of control systems, it can also be used to analyze the convergence properties of iterative algorithms. By defining an appropriate notion of "energy" that dissipates with every iteration of the algorithm, the convergence properties of the algorithm can be characterized. This article formalizes the connection between iterative algorithms and control systems and shows through examples how dissipativity theory can be used to analyze the performance of many classes of optimization algorithms. This control-theoretic viewpoint enables the selection and tuning of optimization algorithms to be performed in an automated and systematic way.

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