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Department of Mathematics,
University of California San Diego

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Center for Computational Mathematics Seminar

Minxin Zhang

UCLA

Inexact Proximal Point Algorithms for Zeroth-Order Global Optimization

Abstract:

This work concerns the zeroth-order global minimization of continuous nonconvex functions with a unique global minimizer and possibly multiple local minimizers. We formulate a theoretical framework for inexact proximal point (IPP) methods for global optimization, establishing convergence guarantees under mild assumptions when either deterministic or stochastic estimates of proximal operators are used. The quadratic regularization in the proximal operator and the scaling effect of a positive parameter create a concentrated landscape of an associated Gibbs measure that is practically effective for sampling. The convergence of the expectation under the Gibbs measure is established, providing a theoretical foundation for evaluating proximal operators inexactly using sampling-based methods such as Monte Carlo (MC) integration. In addition, we propose a new approach based on tensor train (TT) approximation. This approach employs a randomized TT cross algorithm to efficiently construct a low-rank TT approximation of a discretized function using a small number of function evaluations, and we provide an error analysis for the TT-based estimation. We then propose two practical IPP algorithms, TT-IPP and MC-IPP. The TT-IPP algorithm leverages TT estimates of the proximal operators, while the MC-IPP algorithm employs MC integration to estimate the proximal operators. Both algorithms are designed to adaptively balance efficiency and accuracy in inexact evaluations of proximal operators. The effectiveness of the two algorithms is demonstrated through experiments on diverse benchmark functions and various applications.

March 4, 2025

11:00 AM

AP&M 2402 and Zoom ID 946 7260 9849

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