Reusing Cuts in Iterative Projections over Submodular Polytopes
Presenter
March 28, 2023
Abstract
Optimization algorithms such as projected Newton's method, FISTA, mirror descent and its variants enjoy near-optimal regret bounds and convergence rates, but suffer from a computational bottleneck of computing projections"" in potentially each iteration (e.g.,
O(T^{0.5}) regret of online mirror descent). On the other hand, conditional gradient variants solve a linear optimization in each iteration, but result in suboptimal rates (e.g.,
OT^{0.75}) regret of online Frank-Wolfe). Motivated by this trade-off in runtime v/s convergence rates, we consider iterative projections of close-by points over widely-prevalent submodular base polytopes B(f). We develop a toolkit to speed up the computation of projections using both discrete and continuous perspectives. We subsequently adapt the away-step Frank-Wolfe algorithm to use this information and enable early termination.