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Optimal analysis of finite element methods for the stochastic Stokes equations 随机斯托克斯方程有限元方法的优化分析
IF 2 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-04-29 DOI: 10.1090/mcom/3972
Buyang Li, Shu Ma, Weiwei Sun
<p>Numerical analysis for the stochastic Stokes equations is still challenging even though it has been well done for the corresponding deterministic equations. In particular, the pre-existing error estimates of finite element methods for the stochastic Stokes equations in the <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper L Superscript normal infinity Baseline left-parenthesis 0 comma upper T semicolon upper L squared left-parenthesis normal upper Omega semicolon upper L squared right-parenthesis right-parenthesis"> <mml:semantics> <mml:mrow> <mml:msup> <mml:mi>L</mml:mi> <mml:mi mathvariant="normal">∞</mml:mi> </mml:msup> <mml:mo stretchy="false">(</mml:mo> <mml:mn>0</mml:mn> <mml:mo>,</mml:mo> <mml:mi>T</mml:mi> <mml:mo>;</mml:mo> <mml:msup> <mml:mi>L</mml:mi> <mml:mn>2</mml:mn> </mml:msup> <mml:mo stretchy="false">(</mml:mo> <mml:mi mathvariant="normal">Ω</mml:mi> <mml:mo>;</mml:mo> <mml:msup> <mml:mi>L</mml:mi> <mml:mn>2</mml:mn> </mml:msup> <mml:mo stretchy="false">)</mml:mo> <mml:mo stretchy="false">)</mml:mo> </mml:mrow> <mml:annotation encoding="application/x-tex">L^infty (0, T; L^2(Omega ; L^2))</mml:annotation> </mml:semantics> </mml:math> </inline-formula> norm all suffer from the order reduction with respect to the spatial discretizations. The best convergence result obtained for these fully discrete schemes is only half-order in time and first-order in space, which is not optimal in space in the traditional sense. The objective of this article is to establish strong convergence of <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper O left-parenthesis tau Superscript 1 slash 2 Baseline plus h squared right-parenthesis"> <mml:semantics> <mml:mrow> <mml:mi>O</mml:mi> <mml:mo stretchy="false">(</mml:mo> <mml:msup> <mml:mi>τ</mml:mi> <mml:mrow> <mml:mn>1</mml:mn> <mml:mrow> <mml:mo>/</mml:mo> </mml:mrow> <mml:mn>2</mml:mn> </mml:mrow> </mml:msup> <mml:mo>+</mml:mo> <mml:msup> <mml:mi>h</mml:mi> <mml:mn>2</mml:mn> </mml:msup> <mml:mo stretchy="false">)</mml:mo> </mml:mrow> <mml:annotation encoding="application/x-tex">O(tau ^{1/2}+ h^2)</mml:annotation> </mml:semantics> </mml:math> </inline-formula> in the <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper L Superscript normal infinity Baseline left-parenthesis 0 comma upper T semicolon upper L squared left-parenthesis normal upper Omega semicolon upper L squared right-parenthesis right-parenthesis"> <mml:semantics> <mml:mrow> <mml:msup> <mml:mi>L</mml:mi> <mml:mi mathvariant="normal">∞</mml:mi> </mml:msup> <mml:mo stretchy="false">(</mml:mo> <mml:mn>0</mml:mn> <mml:mo>,</mml:mo> <mml:mi>T</mml:mi> <mml:mo>;</mml:mo> <mml:msup> <mml:mi>L</mml:mi> <mml:mn>2</mml:mn> </mml:msup> <mml:mo stretchy="false">(</mml:mo> <mml:mi mathvariant="normal">Ω</mml:mi> <mml:mo>;</mml:mo> <mml:msup> <mml:mi>L</mml:
尽管随机斯托克斯方程的数值分析已经在相应的确定性方程中得到了很好的应用,但它仍然具有挑战性。特别是,有限元方法在 L ∞ ( 0 , T ; L 2 ( Ω ; L 2 ) 中对随机斯托克斯方程的已有误差估计) L^infty (0, T; L^2(Omega ; L^2)) 规范下的随机斯托克斯方程都会因空间离散化而导致阶次减少。这些全离散方案获得的最佳收敛结果在时间上只有半阶,在空间上只有一阶,并不是传统意义上的空间最优。本文的目的是在 L ∞ ( 0 , T ; L 2 ( Ω ; L 2 ) 中建立 O ( τ 1 / 2 + h 2 ) O(tau ^{1/2}+ h^2) 的强收敛性。) L^{infty}(0,T;L^2(Omega;L^2)) 准则来近似速度,并且在 L ∞ ( 0 ,T ;L 2 ( Ω ;L 2 ) 中强收敛为 O ( τ 1 / 2 + h ) O(tau^{1/2}+h)。 L^{infty }(0, T;L^2(Omega ;L^2)) 规范用于逼近压力的时间积分,其中 τ tau 和 h h 分别表示时间步长和空间网格大小。误差估计值是本文所考虑的空间离散化(使用 MINI 元素)的最优阶,与数值实验结果一致。分析基于完全离散斯托克斯半群技术和相应的新估计。
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引用次数: 0
Cellular approximations to the diagonal map 对角线图的细胞近似值
IF 2 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-04-24 DOI: 10.1090/mcom/3981
Khaled Alzobydi, Graham Ellis

We describe an elementary algorithm for recursively constructing diagonal approximations on those finite regular CW-complexes for which the closure of each cell can be explicitly collapsed to a point. The algorithm is based on the standard proof of the acyclic carrier theorem, made constructive through the use of explicit contracting homotopies. It can be used as a theoretical tool for constructing diagonal approximations on families of polytopes in situations where the diagonals are required to satisfy certain coherence conditions. We compare its output to existing diagonal approximations for the families of simplices, cubes, associahedra and permutahedra. The algorithm yields a new explanation of a magical formula for the associahedron derived by Markl and Shnider [Trans. Amer. Math. Soc. 358 (2006), pp. 2353–2372] and Masuda, Thomas, Tonks, and Vallette [J. Éc. polytech. Math. 8 (2021), pp. 121–146] and Theorem 4.1 provides a magical formula for other polytopes. We also describe a computer implementation of the algorithm and illustrate it on a range of practical examples including the computation of cohomology rings for some low-dimensional manifolds. To achieve some of these examples the paper includes two approaches to generating a regular CW-complex structure on closed compact 3 3 -manifolds, one using an implementation of Dehn surgery on links and the other using an implementation of pairwise identifications of faces in a tessellated boundary of the 3 3 -ball. The latter is illustrated in Proposition 8.1 with a topological classification of all closed orientable 3 3 -manifolds arising from pairwise identifications of faces of the cube.

我们描述了一种在有限正则 CW 复数上递归构造对角线近似的基本算法,对于这些有限正则 CW 复数,每个单元的闭合可以明确地折叠为一个点。该算法基于非循环载体定理的标准证明,并通过使用显式收缩同调而变得具有构造性。在要求对角线满足特定一致性条件的情况下,它可以作为一种理论工具,用于构建多边形族的对角线近似。我们将它的输出结果与现有的简面、立方体、联面和高面族的对角线近似值进行了比较。该算法对 Markl 和 Shnider [Trans. Amer. Math. Soc. 358 (2006), pp.我们还描述了该算法的计算机实现,并在一系列实际例子中进行了说明,包括一些低维流形的同调环计算。为了实现其中的一些例子,论文包含了在封闭紧凑的 3 3 -manifolds 上生成正则 CW-complex 结构的两种方法,一种是在链接上使用 Dehn 手术的实现方法,另一种是在 3 3 -ball 的网格边界上使用面的成对识别的实现方法。后者在命题 8.1 中以立方体面的成对识别所产生的所有封闭可定向 3 3 -manifold 的拓扑分类来说明。
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引用次数: 0
Adaptive fast multiplication of ℋ²-matrices ℋ²矩阵的自适应快速乘法
IF 2 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-04-19 DOI: 10.1090/mcom/3978
Steffen Börm

Hierarchical matrices approximate a given matrix by a decomposition into low-rank submatrices that can be handled efficiently in factorized form. H 2 mathcal {H}^2 -matrices refine this representation following the ideas of fast multipole methods in order to achieve linear, i.e., optimal complexity for a variety of important algorithms.

The matrix multiplication, a key component of many more advanced numerical algorithms, has been a challenge: the only linear-time algorithms known so far either require the very special structure of HSS-matrices or need to know a suitable basis for all submatrices in advance.

In this article, a new and fairly general algorithm for multiplying H 2 mathcal {H}^2 -matrices in linear complexity with adaptively constructed bases is presented. The algorithm consists of two phases: first an intermediate representation with a generalized block structure is constructed, then this representation is re-compressed in order to match the structure prescribed by the application.

The complexity and accuracy are analyzed and numerical experiments indicate that the new algorithm can indeed be significantly faster than previous attempts.

层次矩阵通过分解为低秩子矩阵来近似给定矩阵,这些子矩阵可以因式分解的形式高效处理。 H 2 mathcal {H}^2 矩阵根据快速多极方法的思想完善了这种表示方法,从而实现了线性,即各种重要算法的最佳复杂性。矩阵乘法是许多更高级数值算法的关键组成部分,但一直是个难题:迄今已知的唯一线性时间算法要么需要 HSS 矩阵的特殊结构,要么需要事先知道所有子矩阵的合适基础。本文提出了一种新的、相当通用的算法,用于以线性复杂度与自适应构造的基相乘 H 2 mathcal {H}^2 -matrices。该算法包括两个阶段:首先构建一个具有广义块结构的中间表示,然后对该表示进行重新压缩,以匹配应用所规定的结构。对复杂性和准确性进行了分析,数值实验表明,新算法确实比以前的尝试快得多。
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引用次数: 0
Polynomial preserving recovery for the finite volume element methods under simplex meshes 简单网格下有限体积元素方法的多项式保留恢复
IF 2 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-04-19 DOI: 10.1090/mcom/3980
Yonghai Li, Peng Yang, Zhimin Zhang

The recovered gradient, using the polynomial preserving recovery (PPR), is constructed for the finite volume element method (FVEM) under simplex meshes. Regarding the main results of this paper, there are two aspects. Firstly, we investigate the supercloseness property of the FVEM, specifically examining the quadratic FVEM under tetrahedral meshes. Secondly, we present several guidelines for selecting computing nodes such that the least-squares fitting procedure of the PPR admits a unique solution. Numerical experiments demonstrate that the recovered gradient by the PPR exhibits superconvergence.

利用多项式保留恢复法(PPR)为有限体积元素法(FVEM)构建了简网格下的梯度恢复。本文的主要成果有两个方面。首先,我们研究了有限体积元素法的超粘性,特别是研究了四面体网格下的二次元有限体积元素法。其次,我们提出了几条选择计算节点的准则,从而使 PPR 的最小二乘拟合过程获得唯一解。数值实验证明,PPR 所恢复的梯度具有超收敛性。
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引用次数: 0
Convergence of the numerical approximations and well-posedness: Nonlocal conservation laws with rough flux 数值近似的收敛性和拟合性具有粗糙通量的非局部守恒定律
IF 2 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-04-19 DOI: 10.1090/mcom/3976
Aekta Aggarwal, Ganesh Vaidya

We study a class of nonlinear nonlocal conservation laws with discontinuous flux, modeling crowd dynamics and traffic flow. The discontinuous coefficient of the flux function is assumed to be of bounded variation (BV) and bounded away from zero, and hence the spatial discontinuities of the flux function can be infinitely many with possible accumulation points. Strong compactness of the Godunov and Lax-Friedrichs type approximations is proved, providing the existence of entropy solutions. A proof of the uniqueness of the adapted entropy solutions is provided, establishing the convergence of the entire sequence of finite volume approximations to the adapted entropy solution. As per the current literature, this is the first well-posedness result for the aforesaid class and connects the theory of nonlocal conservation laws (with discontinuous flux), with its local counterpart in a generic setup. Some numerical examples are presented to display the performance of the schemes and explore the limiting behavior of these nonlocal conservation laws to their local counterparts.

我们研究了一类具有不连续通量的非线性非局部守恒定律,模拟人群动力学和交通流。通量函数的不连续系数被假定为有界变化(BV)且离零有界,因此通量函数的空间不连续性可以是无限多的,并可能存在累积点。证明了戈杜诺夫和拉克斯-弗里德里希斯类型近似的强紧凑性,提供了熵解的存在性。证明了适应熵解的唯一性,确定了整个有限体积近似序列对适应熵解的收敛性。根据现有文献,这是上述类别的第一个拟合性结果,它将非局部守恒定律(具有不连续通量)理论与一般设置中的局部对应理论联系起来。本文通过一些数值示例展示了这些方案的性能,并探讨了这些非局部守恒定律与其局部对应定律的极限行为。
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引用次数: 0
Wavenumber-explicit stability and convergence analysis of ℎ𝑝 finite element discretizations of Helmholtz problems in piecewise smooth media 片状光滑介质中𝑝有限元离散化的亥姆霍兹问题的波长显式稳定性和收敛性分析
IF 2 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-03-29 DOI: 10.1090/mcom/3958
M. Bernkopf, T. Chaumont-Frelet, J. Melenk

We present a wavenumber-explicit convergence analysis of the h p hp Finite Element Method applied to a class of heterogeneous Helmholtz problems with piecewise analytic coefficients at large wavenumber k k . Our analysis covers the heterogeneous Helmholtz equation with Robin, exact Dirichlet-to-Neumann, and second order absorbing boundary conditions, as well as perfectly matched layers.

我们提出了对 h p hp 有限元方法的波数显式收敛性分析,该方法适用于一类在大波数 k k 下具有片断解析系数的异质亥姆霍兹问题。我们的分析涵盖了具有 Robin、精确 Dirichlet-to-Neumann、二阶吸收边界条件以及完全匹配层的异质 Helmholtz 方程。
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引用次数: 0
Convergence proof for the GenCol algorithm in the case of two-marginal optimal transport 双边际最优运输情况下 GenCol 算法的收敛性证明
IF 2 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-03-26 DOI: 10.1090/mcom/3968
Gero Friesecke, Maximilian Penka

The recently introduced Genetic Column Generation (GenCol) algorithm has been numerically observed to efficiently and accurately compute high-dimensional optimal transport (OT) plans for general multi-marginal problems, but theoretical results on the algorithm have hitherto been lacking. The algorithm solves the OT linear program on a dynamically updated low-dimensional submanifold consisting of sparse plans. The submanifold dimension exceeds the sparse support of optimal plans only by a fixed factor β beta . Here we prove that for β 2 beta geq 2 and in the two-marginal case, GenCol always converges to an exact solution, for arbitrary costs and marginals. The proof relies on the concept of c-cyclical monotonicity. As an offshoot, GenCol rigorously reduces the data complexity of numerically solving two-marginal OT problems from O ( 2 ) O(ell ^2) to O ( ) O(ell ) without any loss in accuracy, where ell is the number of discretization points for a single marginal. At the end of the paper we also present some insights into the convergence behavior in the multi-marginal case.

最近推出的遗传列生成(GenCol)算法已被数值观测到,可以高效、准确地计算一般多边际问题的高维最优运输(OT)计划,但迄今为止还缺乏有关该算法的理论成果。该算法在由稀疏计划组成的动态更新的低维子平面上求解 OT 线性程序。子平面的维度仅以固定系数 β beta 的方式超出最优计划的稀疏支持。在这里,我们将证明对于 β ≥ 2 beta geq 2 和双边际情况,GenCol 总是收敛于精确解,适用于任意成本和边际。证明依赖于 c 周期单调性的概念。作为一个分支,GenCol 严格地将数值求解双边际 OT 问题的数据复杂度从 O ( ℓ 2 ) O(ell ^2) 降低到 O ( ℓ ) O(ell),并且没有任何精度损失,其中 ℓ ell 是单个边际的离散点数。在本文的最后,我们还提出了对多边际情况下收敛行为的一些见解。
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引用次数: 0
Six-dimensional sphere packing and linear programming 六维球体包装和线性规划
IF 2 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-03-20 DOI: 10.1090/mcom/3959
Matthew de Courcy-Ireland, Maria Dostert, Maryna Viazovska

We prove that the Cohn–Elkies linear programming bound for sphere packing is not sharp in dimension 6. The proof uses duality and optimization over a space of modular forms, generalizing a construction of Cohn–Triantafillou [Math. Comp. 91 (2021), pp. 491–508] to the case of odd weight and non-trivial character.

我们证明了 Cohn-Elkies 线性编程约束在维度 6 中并不尖锐。证明使用了模块形式空间上的对偶性和优化,将 Cohn-Triantafillou [Math. Comp. 91 (2021), pp.
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引用次数: 0
Convergence of Langevin-simulated annealing algorithms with multiplicative noise 具有乘法噪声的朗格文模拟退火算法的收敛性
IF 2 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-03-15 DOI: 10.1090/mcom/3899
Pierre Bras, Gilles Pagès
<p>We study the convergence of Langevin-Simulated Annealing type algorithms with multiplicative noise, i.e. for <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="upper V colon double-struck upper R Superscript d Baseline right-arrow double-struck upper R"> <mml:semantics> <mml:mrow> <mml:mi>V</mml:mi> <mml:mo>:</mml:mo> <mml:msup> <mml:mrow> <mml:mi mathvariant="double-struck">R</mml:mi> </mml:mrow> <mml:mi>d</mml:mi> </mml:msup> <mml:mo stretchy="false">→<!-- → --></mml:mo> <mml:mrow> <mml:mi mathvariant="double-struck">R</mml:mi> </mml:mrow> </mml:mrow> <mml:annotation encoding="application/x-tex">V : mathbb {R}^d to mathbb {R}</mml:annotation> </mml:semantics> </mml:math> </inline-formula> a potential function to minimize, we consider the stochastic differential equation <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="d upper Y Subscript t Baseline equals minus sigma sigma Superscript down-tack Baseline nabla upper V left-parenthesis upper Y Subscript t Baseline right-parenthesis"> <mml:semantics> <mml:mrow> <mml:mi>d</mml:mi> <mml:msub> <mml:mi>Y</mml:mi> <mml:mi>t</mml:mi> </mml:msub> <mml:mo>=</mml:mo> <mml:mo>−<!-- − --></mml:mo> <mml:mi>σ<!-- σ --></mml:mi> <mml:msup> <mml:mi>σ<!-- σ --></mml:mi> <mml:mi mathvariant="normal">⊤<!-- ⊤ --></mml:mi> </mml:msup> <mml:mi mathvariant="normal">∇<!-- ∇ --></mml:mi> <mml:mi>V</mml:mi> <mml:mo stretchy="false">(</mml:mo> <mml:msub> <mml:mi>Y</mml:mi> <mml:mi>t</mml:mi> </mml:msub> <mml:mo stretchy="false">)</mml:mo> </mml:mrow> <mml:annotation encoding="application/x-tex">dY_t = - sigma sigma ^top nabla V(Y_t)</mml:annotation> </mml:semantics> </mml:math> </inline-formula> <inline-formula content-type="math/mathml"> <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" alttext="d t plus a left-parenthesis t right-parenthesis sigma left-parenthesis upper Y Subscript t Baseline right-parenthesis d upper W Subscript t plus a left-parenthesis t right-parenthesis squared normal upper Upsilon left-parenthesis upper Y Subscript t Baseline right-parenthesis d t"> <mml:semantics> <mml:mrow> <mml:mi>d</mml:mi> <mml:mi>t</mml:mi> <mml:mo>+</mml:mo> <mml:mi>a</mml:mi> <mml:mo stretchy="false">(</mml:mo> <mml:mi>t</mml:mi> <mml:mo stretchy="false">)</mml:mo> <mml:mi>σ<!-- σ --></mml:mi> <mml:mo stretchy="false">(</mml:mo> <mml:msub> <mml:mi>Y</mml:mi> <mml:mi>t</mml:mi> </mml:msub> <mml:mo stretchy="false">)</mml:mo> <mml:mi>d</mml:mi> <mml:msub> <mml:mi>W</mml:mi> <mml:mi>t</mml:mi> </mml:msub> <mml:mo>+</mml:mo> <mml:mi>a</mml:mi> <mml:mo stretchy="false">(</mml:mo> <mml:mi>t</mml:mi> <mml:msup> <mml:mo stretchy="false">)</mml:mo> <mml:mn>2</mml:mn> </mml:msup> <mml:mi mathvariant="normal">Υ<!-- Υ --></mml:mi> <mml:mo stretchy="false">(</mml:mo> <mml:msub> <mml:mi>Y</mml:mi> <mml:mi>t</mml:mi> </mml:msub> <mml:mo stretchy="false">)</mml:mo> <mml:mi>d</mml:mi> <mml:mi>t</mml:mi> </mml:mro
我们研究了带有乘法噪声的朗格文模拟退火算法的收敛性,即对于 V : R d → R V :mathbb {R}^d to mathbb {R} 的势函数最小化、我们考虑随机微分方程 d Y t = - σ σ ⊤∇ V ( Y t ) dY_t = -V(Y_t) d t + a ( t ) σ ( Y t ) d W t + a ( t ) 2 Υ ( Y t ) d t dt + a(t)sigma (Y_t)dW_t + a(t)^2Upsilon (Y_t)dt 、其中 ( W t ) (W_t) 是布朗运动,其中 σ : R d → M d ( R ) σ : mathbb {R}^d to mathcal {M}_d(mathbb {R}) 是一个自适应(乘法)噪声,其中 a : R + → R + a : mathbb {R}^+ to mathbb {R}^+ 是一个递减到 0 0 的函数,Υ Upsilon 是一个修正项。这种设置可以应用于机器学习中出现的优化问题;与经典的朗格文方程 d Y t = -∇ V ( Y t ) d t + σ d W t dY_t = -nabla V(Y_t)dt + sigma dW_t 相比,允许 σ sigma 取决于位置会带来更快的收敛速度。σ sigma 是常量矩阵的情况已被广泛研究,但对一般情况的研究却很少。我们证明了 Y t 的 L 1 L^1 - Wasserstein 距离的收敛性。我们证明了 Y t Y_t 和相关欧拉方案 Y ¯ t (bar {Y}_t)的瓦瑟斯坦距离收敛于某个由 argmin ( V ) operatorname {argmin}(V) 支持的度量 ν ⋆ nu ^star ,并给出了密度 ∝ exp ( - 2 V ( x ) / a ( t ) 2 ) 的瞬时吉布斯度量 ν a ( t ) nu _{a(t)} 的收敛速率。 propto exp (-2V(x)/a(t)^2) .为此,我们首先考虑 a a 是片断常数函数的情况。我们再次找到经典的时间表 a ( t ) = A log - 1 / 2 ( t ) a(t) = Alog ^{-1/2}(t) 。然后,我们利用遍历特性给出了步进常数情况下的瓦瑟斯坦距离的边界,从而证明了一般情况下的收敛性。
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引用次数: 0
Stochastic nested primal-dual method for nonconvex constrained composition optimization 非凸约束组合优化的随机嵌套原始二元法
IF 2 2区 数学 Q1 MATHEMATICS, APPLIED Pub Date : 2024-03-13 DOI: 10.1090/mcom/3965
Lingzi Jin, Xiao Wang

In this paper we study the nonconvex constrained composition optimization, in which the objective contains a composition of two expected-value functions whose accurate information is normally expensive to calculate. We propose a STochastic nEsted Primal-dual (STEP) method for such problems. In each iteration, with an auxiliary variable introduced to track the inner layer function values we compute stochastic gradients of the nested function using a subsampling strategy. To alleviate difficulties caused by possibly nonconvex constraints, we construct a stochastic approximation to the linearized augmented Lagrangian function to update the primal variable, which further motivates to update the dual variable in a weighted-average way. Moreover, to better understand the asymptotic dynamics of the update schemes we consider a deterministic continuous-time system from the perspective of ordinary differential equation (ODE). We analyze the Karush-Kuhn-Tucker measure at the output by the STEP method with constant parameters and establish its iteration and sample complexities to find an ϵ epsilon -stationary point, ensuring that expected stationarity, feasibility as well as complementary slackness are below accuracy ϵ epsilon . To leverage the benefit of the (near) initial feasibility in the STEP method, we propose a two-stage framework incorporating a feasibility-seeking phase, aiming to locate a nearly feasible initial point. Moreover, to enhance the adaptivity of the STEP algorithm, we propose an adaptive variant by adaptively adjusting its parameters, along with a complexity analysis. Numerical results on a risk-averse portfolio optimization problem and an orthogonal nonnegative matrix decomposition reveal the effectiveness of the proposed algorithms.

在本文中,我们研究了非凸约束组合优化,其中目标包含两个期望值函数的组合,而这两个期望值函数的精确信息通常计算起来很昂贵。我们针对此类问题提出了一种 STochastic nEsted Primal-dual (STEP) 方法。在每次迭代中,通过引入一个辅助变量来跟踪内层函数值,我们利用子采样策略计算嵌套函数的随机梯度。为了减轻可能的非凸约束带来的困难,我们构建了线性化增量拉格朗日函数的随机近似值来更新主变量,这进一步促使我们以加权平均的方式更新对偶变量。此外,为了更好地理解更新方案的渐近动态,我们从常微分方程(ODE)的角度考虑了一个确定性连续时间系统。我们通过参数恒定的 STEP 方法分析输出端的 Karush-Kuhn-Tucker 度量,并建立其迭代和样本复杂性,以找到一个 ϵ epsilon -stationary 点,确保预期静止性、可行性以及互补松弛性低于精度 ϵ epsilon 。为了充分利用 STEP 方法中(接近)初始可行性的优势,我们提出了一个包含可行性搜索阶段的两阶段框架,旨在找到一个接近可行的初始点。此外,为了增强 STEP 算法的适应性,我们提出了一种自适应变体,通过自适应调整其参数,同时进行复杂性分析。对风险规避型投资组合优化问题和正交非负矩阵分解的数值结果表明了所提算法的有效性。
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引用次数: 0
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Mathematics of Computation
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