Date
Tue, 26 Nov 2019
14:00
Location
L5
Speaker
Constantin Puiu
Organisation
Oxford


Subspace methods have the potential to outperform conventional methods, as the derivatives only need to be computed in a smaller dimensional subspace. The sub-problem that needs to be solved at each iteration is also smaller in size, and thus the Linear Algebra cost is also lower. However, if the subspace is not selected "properly", the progress per iteration can be significantly much lower than the progress of the equivalent full-space method. Thus, "improper" selection of the subspace results in subspace methods which are actually more computationally expensive per unit of progress than their full-space alternatives. The popular subspace selection methods (such as randomized) fall into this category when the objective function does not have a known (exploitable) structure. We provide a simple and effective rule to choose the subspace in the "right way" when the objective function does not have a structure. We focus on Gauss-Newton and Least-Squares, but the idea can be generalised to any other solvers and/or objective functions. We show theoretically that the cost of this strategy per unit progress lies in between (approximately) 50% and 100% of the cost of Gauss-Newton, and give an intuition why in practice, it should be closer to the favorable end of the spectrum. We confirm these expectations by running numerical experiments on the CUTEst32 test set. We also compare the proposed selection method with randomized subspace selection. We briefly show that the method is globally convergent and has a 2-step quadratic asymptotic rate of convergence for zero-residual problems.
 

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