PEPit: computer-assisted worst-case analyses of first-order optimization methods in Python - Archive ouverte HAL
Article Dans Une Revue Mathematical Programming Computation Année : 2024

PEPit: computer-assisted worst-case analyses of first-order optimization methods in Python

Résumé

PEPit is a Python package aiming at simplifying the access to worst-case analyses of a large family of first-order optimization methods possibly involving gradient, projection, proximal, or linear optimization oracles, along with their approximate, or Bregman variants. In short, PEPit is a package enabling computer-assisted worst-case analyses of first-order optimization methods. The key underlying idea is to cast the problem of performing a worst-case analysis, often referred to as a performance estimation problem (PEP), as a semidefinite program (SDP) which can be solved numerically. For doing that, the package users are only required to write first-order methods nearly as they would have implemented them. The package then takes care of the SDP modelling parts, and the worst-case analysis is performed numerically via a standard solver.

Dates et versions

hal-03780353 , version 1 (19-09-2022)

Identifiants

Citer

Baptiste Goujaud, Céline Moucer, François Glineur, Julien Hendrickx, Adrien Taylor, et al.. PEPit: computer-assisted worst-case analyses of first-order optimization methods in Python. Mathematical Programming Computation, 2024, 16 (3), pp.337-367. ⟨10.1007/s12532-024-00259-7⟩. ⟨hal-03780353⟩
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