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·인용수 1
·2024
A projection-free method for solving convex bilevel optimization problems
Khanh-Hung Giang-Tran, Nam Ho-Nguyen, Dabeen Lee
IF 2.5Mathematical Programming
초록

Abstract When faced with multiple minima of an inner-level convex optimization problem, the convex bilevel optimization problem selects an optimal solution which also minimizes an auxiliary outer-level convex objective of interest. Bilevel optimization requires a different approach compared to single-level optimization problems since the set of minimizers for the inner-level objective is not given explicitly. In this paper, we propose a new projection-free conditional gradient method for convex bilevel optimization which requires only a linear optimization oracle over the base domain. We establish $$O(t^{-1/2})$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mrow> <mml:mi>O</mml:mi> <mml:mo>(</mml:mo> <mml:msup> <mml:mi>t</mml:mi> <mml:mrow> <mml:mo>-</mml:mo> <mml:mn>1</mml:mn> <mml:mo>/</mml:mo> <mml:mn>2</mml:mn> </mml:mrow> </mml:msup> <mml:mo>)</mml:mo> </mml:mrow> </mml:math> convergence rate guarantees for our method in terms of both inner- and outer-level objectives, and demonstrate how additional assumptions such as quadratic growth and strong convexity result in accelerated rates of up to $$O(t^{-1})$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mrow> <mml:mi>O</mml:mi> <mml:mo>(</mml:mo> <mml:msup> <mml:mi>t</mml:mi> <mml:mrow> <mml:mo>-</mml:mo> <mml:mn>1</mml:mn> </mml:mrow> </mml:msup> <mml:mo>)</mml:mo> </mml:mrow> </mml:math> and $$O(t^{-2/3})$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mrow> <mml:mi>O</mml:mi> <mml:mo>(</mml:mo> <mml:msup> <mml:mi>t</mml:mi> <mml:mrow> <mml:mo>-</mml:mo> <mml:mn>2</mml:mn> <mml:mo>/</mml:mo> <mml:mn>3</mml:mn> </mml:mrow> </mml:msup> <mml:mo>)</mml:mo> </mml:mrow> </mml:math> for inner- and outer-levels respectively. Lastly, we conduct a numerical study to demonstrate the performance of our method.

키워드
MathematicsBilevel optimizationProjection (relational algebra)Regular polygonConvex optimizationMathematical optimizationProjection methodConvex analysisConic optimizationNumerical analysis
타입
article
IF / 인용수
2.5 / 1
게재 연도
2024