Beyond Discretization: Learning the Optimal Solution Path

• URL: http://arxiv.org/abs/2410.14885v2
• Date: Tue, 12 Nov 2024 18:42:01 GMT
• Title: Beyond Discretization: Learning the Optimal Solution Path
• Authors: Qiran Dong, Paul Grigas, Vishal Gupta,
• Abstract summary: We propose an approach that parameterizes the solution path with a set of basis functions and solves a emphsingle optimization problem. Our method offers substantial complexity improvements over discretization. We also prove stronger results for special cases common in machine learning.
• Score: 3.9675360887122646
• License:
• Abstract: Many applications require minimizing a family of optimization problems indexed by some hyperparameter $\lambda \in \Lambda$ to obtain an entire solution path. Traditional approaches proceed by discretizing $\Lambda$ and solving a series of optimization problems. We propose an alternative approach that parameterizes the solution path with a set of basis functions and solves a \emph{single} stochastic optimization problem to learn the entire solution path. Our method offers substantial complexity improvements over discretization. When using constant-step size SGD, the uniform error of our learned solution path relative to the true path exhibits linear convergence to a constant related to the expressiveness of the basis. When the true solution path lies in the span of the basis, this constant is zero. We also prove stronger results for special cases common in machine learning: When $\lambda \in [-1, 1]$ and the solution path is $\nu$-times differentiable, constant step-size SGD learns a path with $\epsilon$ uniform error after at most $O(\epsilon^{\frac{1}{1-\nu}} \log(1/\epsilon))$ iterations, and when the solution path is analytic, it only requires $O\left(\log^2(1/\epsilon)\log\log(1/\epsilon)\right)$. By comparison, the best-known discretization schemes in these settings require at least $O(\epsilon^{-1/2})$ discretization points (and even more gradient calls). Finally, we propose an adaptive variant of our method that sequentially adds basis functions and demonstrates strong numerical performance through experiments.

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