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Abstract

The accelerated composite optimization method FISTA (Beck, Teboulle 2009) is suboptimal, and we present a new method OptISTA that improves upon it by a factor of 2. The performance estimation problem (PEP) has recently been introduced as a new computer-assisted paradigm for designing optimal first-order methods, but the methodology was largely limited to unconstrained optimization with a single function. In this work, we present a novel double-function stepsize-optimization PEP methodology that poses the optimization over fixed-step first-order methods for composite optimization as a finite-dimensional nonconvex QCQP, which can be practically solved through spatial branch-and-bound algorithms, and use it to design the exact optimal method OptISTA for the composite optimization setup. We then establish the exact optimality of OptISTA with a novel lower-bound construction that extends the semi-interpolated zero-chain construction (Drori, Taylor 2022) to the double-function setup of composite optimization. By establishing exact optimality, our work concludes the search for the fastest first-order methods for the proximal, projected-gradient, and proximal-gradient setups.

Details

1009240
Identifier / keyword
Title
Computer-Assisted Design of Accelerated Composite Optimization Methods: OptISTA
Publication title
arXiv.org; Ithaca
Publication year
2024
Publication date
Sep 14, 2024
Section
Mathematics
Publisher
Cornell University Library, arXiv.org
Source
arXiv.org
Place of publication
Ithaca
Country of publication
United States
University/institution
Cornell University Library arXiv.org
e-ISSN
2331-8422
Source type
Working Paper
Language of publication
English
Document type
Working Paper
Publication history
 
 
Online publication date
2024-09-17
Milestone dates
2023-05-25 (Submission v1); 2023-11-01 (Submission v2); 2024-09-14 (Submission v3)
Publication history
 
 
   First posting date
17 Sep 2024
ProQuest document ID
2819551143
Document URL
https://www.proquest.com/working-papers/computer-assisted-design-accelerated-composite/docview/2819551143/se-2?accountid=208611
Full text outside of ProQuest
Copyright
© 2024. This work is published under http://arxiv.org/licenses/nonexclusive-distrib/1.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.
Last updated
2024-09-18
Database
ProQuest One Academic