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Contributed Video: A Study of Condition Numbers for First-Order Optimization, Charles Guille-Escuret
Charles Guille-Escuret

Fri Dec 11 03:30 PM -- 04:00 PM (PST) @ None
Event URL: https://opt-ml.org/papers/2020/paper_82.pdf »

In this work we introduce a new framework for the theoretical study of convergence and tuning of first-order optimization algorithms (FOA). The study of such algorithms typically requires assumptions on the objective functions: the most popular ones are probably smoothness and strong convexity. These metrics are used to tune the hyperparameters of FOA. We introduce a class of perturbations quantified via a new norm, called *-norm. We show that adding a small perturbation to the objective function has an equivalently small impact on the behavior of any FOA, which suggests that it should have a minor impact on the tuning of the algorithm. However, we show that smoothness and strong convexity can be heavily impacted by arbitrarily small perturbations, leading to excessively conservative tunings and convergence issues. In view of these observations, we propose a notion of continuity of the metrics, which is essential for a robust tuning strategy.Since smoothness and strong convexity are not continuous, we propose a comprehensive study of existing alternative metrics which we prove to be continuous. We describe their mutual relations and provide their guaranteed convergence rates for the Gradient Descent algorithm accordingly tuned.

Author Information

Charles Guille-Escuret (Université de Montréal, Mila)

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