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Computer Research and Modeling, 2022, Volume 14, Issue 2, Pages 377–398
DOI: https://doi.org/10.20537/2076-7633-2022-14-2-377-398
(Mi crm974)
 

MATHEMATICAL MODELING AND NUMERICAL SIMULATION

Tensor methods inside mixed oracle for min-min problems

P. A. Ostroukhovab

a Moscow Institute of Physics and Technology, 9 Institutskiy per., Dolgoprudny, Moscow Region, 141701, Russia
b Institute for Information Transmission Problems of Russian Academy of Sciences, 19/1 Bol’shoy Karetnyy per., Moscow, 212705, Russia
References:
Abstract: In this article we consider min-min type of problems or minimization by two groups of variables. In some way it is similar to classic min-max saddle point problem. Although, saddle point problems are usually more difficult in some way. Min-min problems may occur in case if some groups of variables in convex optimization have different dimensions or if these groups have different domains. Such problem structure gives us an ability to split the main task to subproblems, and allows to tackle it with mixed oracles. However existing articles on this topic cover only zeroth and first order oracles, in our work we consider high-order tensor methods to solve inner problem and fast gradient method to solve outer problem.
We assume, that outer problem is constrained to some convex compact set, and for the inner problem we consider both unconstrained case and being constrained to some convex compact set. By definition, tensor methods use high-order derivatives, so the time per single iteration of the method depends a lot on the dimensionality of the problem it solves. Therefore, we suggest, that the dimension of the inner problem variable is not greater than 1000. Additionally, we need some specific assumptions to be able to use mixed oracles. Firstly, we assume, that the objective is convex in both groups of variables and its gradient by both variables is Lipschitz continuous. Secondly, we assume the inner problem is strongly convex and its gradient is Lipschitz continuous. Also, since we are going to use tensor methods for inner problem, we need it to be $p$-th order Lipschitz continuous ($p>1$). Finally, we assume strong convexity of the outer problem to be able to use fast gradient method for strongly convex functions.
We need to emphasize, that we use superfast tensor method to tackle inner subproblem in unconstrained case. And when we solve inner problem on compact set, we use accelerated high-order composite proximal method.
Additionally, in the end of the article we compare the theoretical complexity of obtained methods with regular gradient method, which solves the mentioned problem as regular convex optimization problem and doesn't take into account its structure (Remarks 1 and 2).
Keywords: tensor methods, high-order smoothness, strong convexity, mixed oracle, inexact oracle.
Funding agency Grant number
Ministry of Science and Higher Education of the Russian Federation 0714-2020-0005
The research is supported by the Ministry of Science and Higher Education of the Russian Federation (Goszadaniye), No. 075-00337-20-03, project No. 0714-2020-0005.
Received: 11.02.2022
Accepted: 13.02.2022
Document Type: Article
UDC: 519.853.62
Language: Russian
Citation: P. A. Ostroukhov, “Tensor methods inside mixed oracle for min-min problems”, Computer Research and Modeling, 14:2 (2022), 377–398
Citation in format AMSBIB
\Bibitem{Ost22}
\by P.~A.~Ostroukhov
\paper Tensor methods inside mixed oracle for min-min problems
\jour Computer Research and Modeling
\yr 2022
\vol 14
\issue 2
\pages 377--398
\mathnet{http://mi.mathnet.ru/crm974}
\crossref{https://doi.org/10.20537/2076-7633-2022-14-2-377-398}
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