Efficiently Optimizing over (Non-Convex) Cones via Approximate Projections

نویسندگان

  • Michael B. Cohen
  • Chinmay Hegde
  • Stefanie Jegelka
  • Ludwig Schmidt
چکیده

Constrained least squares is a ubiquitous optimization problem in machine learning, statistics, and signal processing. While projected gradient descent is usually an effective algorithm for solving constrained least squares at scale, the projection operator is often the computational bottleneck, especially for complicated constraints. To circumvent this limitation, we extend recent work on approximate projections to a significantly broader range of constrained least squares problems. Our new variant of projected gradient descent is able to utilize approximate projections for any condition number and any conic constraint set (including non-convex cones).

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تاریخ انتشار 2017