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arXiv · 2408.11629

A Probabilistic Framework for Learnable Optimization Algorithms

Peter Ochs·Michael Sucker
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Abstract

We propose a statistical-learning framework for optimization algorithms. The framework is based on probability distributions over optimization trajectories induced by a distribution of optimization problems and a learnable optimization algorithm. Within this setting, optimization performance is represented through measurable performance functionals, including stopping times, contraction factors, and trajectory-level properties. The resulting framework provides a statistical perspective on optimization algorithms, allows their performance to be studied at the population level, and naturally accommodates the learning of optimization algorithms from data. Moreover, it enables the application of statistical-learning techniques to optimization, including PAC-Bayesian generalization guarantees for bounded optimization-specific performance measures. Experiments on convex, non-smooth, non-convex, and stochastic optimization problems illustrate the framework and demonstrate the statistical nature of optimization performance.

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Peter Ochs, Michael Sucker. 2024-08-21. A Probabilistic Framework for Learnable Optimization Algorithms. https://arxiv.org/abs/2408.11629

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