<p>We extend recent computer-assisted design and analysis techniques for first-order optimization over structured functions—known as performance estimation—to apply to structured sets. We prove “interpolation theorems” for smooth and strongly convex sets with interior point conditions and bounded diameter, showing a wide range of extremal questions amount to structured mathematical programs. Prior function interpolation theorems are recovered as a limit of our set interpolation theory. Our theory provides finite-dimensional formulations of performance estimation problems for algorithms utilizing separating hyperplane oracles and linear optimization oracles of smooth/strongly convex sets. As applications of this computer-assisted machinery, we identify a minimax optimal separating hyperplane method and areas for improvement in the theory of Frank-Wolfe and non-Lipschitz Smooth Optimization.</p>

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Performance estimation for smooth and strongly convex sets

  • Alan Luner,
  • Benjamin Grimmer

摘要

We extend recent computer-assisted design and analysis techniques for first-order optimization over structured functions—known as performance estimation—to apply to structured sets. We prove “interpolation theorems” for smooth and strongly convex sets with interior point conditions and bounded diameter, showing a wide range of extremal questions amount to structured mathematical programs. Prior function interpolation theorems are recovered as a limit of our set interpolation theory. Our theory provides finite-dimensional formulations of performance estimation problems for algorithms utilizing separating hyperplane oracles and linear optimization oracles of smooth/strongly convex sets. As applications of this computer-assisted machinery, we identify a minimax optimal separating hyperplane method and areas for improvement in the theory of Frank-Wolfe and non-Lipschitz Smooth Optimization.