Séminaire de Probabilités et Statistique :

Le 26 février 2024 à 13:45 - UM - Bât 09 - Salle de conférence (1er étage)

Présentée par Castera Camille - Université de Tübingen

Automatic Hyper-parameter Tuning of Optimization Algorithms via Lyapunov Damping

Hyper-parameters are ubiquitous in optimization algorithms, the two most common ones being the step-size and the momentum. While their careful selection is crucial to get the most of algorithms, usual automatic selection techniques (e.g., line-search) often fail in modern applications. In this talk we present new automatic hyper-parameter tuning methods based on theoretical considerations.

We mainly focus on Nesterov's algorithm. It features the intriguing momentum parameter (k-1)/(k+2) that depends on the iteration index k. This means that the initial iteration index is also an hyper-parameter that affects the performance of the algorithm. From a dynamical system perspective, we overcome this issue by replacing the momentum parameter by the square root of a Lyapunov function, hence coupling the momentum with the speed of convergence of the system. We show that the resulting method achieves a convergence rate arbitrarily close to the optimal one while getting rid of two hyper-parameters.

A general introduction to optimization for machine learning will be given, and the case of step-size tuning for deep learning will also be discussed, if time allows.

This is joint work with S. Maier and P. Ochs.

Séminaire en salle 109, également retransmis sur zoom : https://umontpellier-fr.zoom.us/j/94087408185