Regularized Nonlinear Acceleration
Résumé
We describe a convergence acceleration technique for generic optimization problems. Our scheme
computes estimates of the optimum from a nonlinear average of the iterates produced by any optimization
method. The weights in this average are computed via a simple linear system, whose solution can be updated
online. This acceleration scheme runs in parallel to the base algorithm, providing improved estimates of the
solution on the fly, while the original optimization method is running. Numerical experiments are detailed on
classical classification problems.
Domaines
Optimisation et contrôle [math.OC]
Origine : Fichiers produits par l'(les) auteur(s)
Loading...