In plain words: A learned speed-up layer sits on a standard convex optimization solver, using patterns from similar past problems to guess better steps in its repeated calculations. It reaches a moderately accurate answer faster than the usual solver, for any problem that solver can express.
Abstract
Fixed-point iterations are at the heart of numerical computing and are often a computational bottleneck in real-time applications that typically need a fast solution of moderate accuracy. We present neural fixed-point acceleration which combines ideas from meta-learning and classical acceleration methods to automatically learn to accelerate fixed-point problems that are drawn from a distribution. We apply our framework to SCS, the state-of-the-art solver for convex cone programming, and design models and loss functions to overcome the challenges of learning over unrolled optimization and acceleration instabilities. Our work brings neural acceleration into any optimization problem expressible with CVXPY. The source code behind this paper is available at https://github.com/facebookresearch/neural-scs
Shobha Venkataraman, Brandon Amos
arXiv:2107.10254 · cs.LG, cs.AI, math.OC · submitted Jul 21, 2021 · updated Jul 23, 2021
abstract · pdf · html · AutoML@ICML2021