Time-adaptive Lagrangian variational integrators for accelerated optimization
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accelerated optimizationLie group optimizationRiemannian optimizationsymplectic optimizationtime-adaptivityvariational integrators
Geometric methods in ordinary differential equations (34A26) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Dynamical systems in optimization and economics (37N40) Numerical optimization and variational techniques (65K10) Numerical methods for Hamiltonian systems including symplectic integrators (65P10) Canonical and symplectic transformations for problems in Hamiltonian and Lagrangian mechanics (70H15)
Abstract: A variational framework for accelerated optimization was recently introduced on normed vector spaces and Riemannian manifolds in Wibisono et al. (2016) and Duruisseaux and Leok (2021). It was observed that a careful combination of timeadaptivity and symplecticity in the numerical integration can result in a significant gain in computational efficiency. It is however well known that symplectic integrators lose their near energy preservation properties when variable time-steps are used. The most common approach to circumvent this problem involves the Poincare transformation on the Hamiltonian side, and was used in Duruisseaux et al. (2021) to construct efficient explicit algorithms for symplectic accelerated optimization. However, the current formulations of Hamiltonian variational integrators do not make intrinsic sense on more general spaces such as Riemannian manifolds and Lie groups. In contrast, Lagrangian variational integrators are well-defined on manifolds, so we develop here a framework for time-adaptivity in Lagrangian variational integrators and use the resulting geometric integrators to solve optimization problems on normed vector spaces and Lie groups.
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