Asynchronous Algorithms for Conic Programs, including Optimal, Infeasible, and Unbounded Ones

Transcription

1 Asynchronous Algorithms for Conic Programs, including Optimal, Infeasible, and Unbounded Ones Wotao Yin joint: Fei Feng, Robert Hannah, Yanli Liu, Ernest Ryu (UCLA, Math) DIMACS: Distributed Optimization, Information Processing, and Learning August 17 1 / 31

2 Overview conic programming problem (P): minimize c T x subject to Ax = b, x K K is a closed convex cone this talk: a first-order iteration parallel: linear speedup, async still working if problem is unsolvable 2 / 31

3 Approach overview Douglas-Rachfordf 1 fixed point iteration z k+1 = T z k T depends on A, b, c and has nice properties: 1 equivalent to standard ADMM, but the different form is important 3 / 31

4 Approach overview Douglas-Rachfordf 1 fixed point iteration z k+1 = T z k T depends on A, b, c and has nice properties: convergence guarantees and rates 1 equivalent to standard ADMM, but the different form is important 3 / 31

5 Approach overview Douglas-Rachfordf 1 fixed point iteration z k+1 = T z k T depends on A, b, c and has nice properties: convergence guarantees and rates coordinate friendly: break z into m blocks, cost(t i) 1 cost(t ) m 1 equivalent to standard ADMM, but the different form is important 3 / 31

6 Approach overview Douglas-Rachfordf 1 fixed point iteration z k+1 = T z k T depends on A, b, c and has nice properties: convergence guarantees and rates coordinate friendly: break z into m blocks, cost(t i) 1 cost(t ) m divergent nicely: (P) has no primal-dual sol pair z k z k+1 z k tells a whole lot 1 equivalent to standard ADMM, but the different form is important 3 / 31

7 Douglas-Rachford splitting (Lions-Mercier 79) proximal mapping of a closed function h prox γh (x) = arg min{h(z) + 1 z 2γ x 2 } z 4 / 31

8 Douglas-Rachford splitting (Lions-Mercier 79) proximal mapping of a closed function h prox γh (x) = arg min{h(z) + 1 z 2γ x 2 } z Douglas-Rachford Splitting (DRS) method solves minimize f(x) + g(x) by iterating z k+1 = T z k 4 / 31

9 Douglas-Rachford splitting (Lions-Mercier 79) proximal mapping of a closed function h prox γh (x) = arg min{h(z) + 1 z 2γ x 2 } z Douglas-Rachford Splitting (DRS) method solves minimize f(x) + g(x) by iterating z k+1 = T z k defined as: x k+ 1 2 = prox γg (z k ) x k+1 = prox γf (2z k x k+ 1 2 ) z k+1 = z k + (x k+1 x k+ 1 2 ) 4 / 31

10 Apply DRS to conic programming minimize c T x subject to Ax = b, x K minimize ( c T x + δ A =b (x) ) + δ K(x) }{{}}{{} f(x) g(x) cone K is nonempty closed convex 5 / 31

11 Apply DRS to conic programming minimize c T x subject to Ax = b, x K minimize ( c T x + δ A =b (x) ) + δ K(x) }{{}}{{} f(x) g(x) cone K is nonempty closed convex each iteration: project onto K, then project onto A = b 5 / 31

12 Apply DRS to conic programming minimize c T x subject to Ax = b, x K minimize ( c T x + δ A =b (x) ) + δ K(x) }{{}}{{} f(x) g(x) cone K is nonempty closed convex each iteration: project onto K, then project onto A = b per-iteration cost: O(n 2 ) if x R n (by pre-factorizing AA T ) 5 / 31

13 Apply DRS to conic programming minimize c T x subject to Ax = b, x K minimize ( c T x + δ A =b (x) ) + δ K(x) }{{}}{{} f(x) g(x) cone K is nonempty closed convex each iteration: project onto K, then project onto A = b per-iteration cost: O(n 2 ) if x R n (by pre-factorizing AA T ) prior work: ADMM for SDP (Wen-Goldfarb-Y. 09) 5 / 31

14 Other choices of splitting linearized ADMM and primal-dual splitting: avoid inverting full A variations of Frank-Wolfe: avoid expensive projections to SDP cone subgradient and bundle methods... 6 / 31

15 Coordinate friendly 2 (CF) (Block) coordinate update is fast only if the subproblems are simple definition: T : H H is CF if, for any z and i [m], z + := ( z 1,..., (T z) i,..., z m ) it holds that cost [ {z, M(z)} {z +, M(z + )} ] = O ( 1 cost[z T z]) m where M(z) is some quantity maintained in the memory 2 Peng-Wu-Xu-Yan-Y. AMSA 16 7 / 31

16 Composed operators 9 rules 3 for CF T 1 T 2 cover many examples general principles: T 1 T 2 inherits the (weaker) separability property if T 1 is CF and T 2 to be either cheap, easy-to-maintain, or directly CF, then T 1 T 2 is CF if T 1 is separable or cheap, T 1 T 2 is easier to CF 3 Peng-Wu-Xu-Yan-Y. AMSA 16 8 / 31

17 Lists of CF T 1 T 2 many convex image processing models portfolio optimization most sparse optimization problems all LPs, all SOCPs, and SDPs without large cones most ERM problems... 9 / 31

18 Example: DRS for SOCP second-order cone: Q n = {x R n : x 1 (x 2,..., x n) 2} 10 / 31

19 Example: DRS for SOCP second-order cone: DRS operator has the form Q n = {x R n : x 1 (x 2,..., x n) 2} T = linear proj Q n 1 Q np 10 / 31

20 Example: DRS for SOCP second-order cone: DRS operator has the form Q n = {x R n : x 1 (x 2,..., x n) 2} CF is trivial if all cones are small T = linear proj Q n 1 Q np 10 / 31

21 Example: DRS for SOCP second-order cone: DRS operator has the form Q n = {x R n : x 1 (x 2,..., x n) 2} T = linear proj Q n 1 Q np CF is trivial if all cones are small now, consider a big cone; property: proj Q n(x) = (αx 1, βx 2,..., βx n) where α, β depend on x 1 and γ := (x 2,..., x n) 2 10 / 31

22 Example: DRS for SOCP second-order cone: DRS operator has the form Q n = {x R n : x 1 (x 2,..., x n) 2} T = linear proj Q n 1 Q np CF is trivial if all cones are small now, consider a big cone; property: proj Q n(x) = (αx 1, βx 2,..., βx n) where α, β depend on x 1 and γ := (x 2,..., x n) 2 given γ and updating x i, refreshing γ costs O(1) 10 / 31

23 Example: DRS for SOCP second-order cone: DRS operator has the form Q n = {x R n : x 1 (x 2,..., x n) 2} T = linear proj Q n 1 Q np CF is trivial if all cones are small now, consider a big cone; property: proj Q n(x) = (αx 1, βx 2,..., βx n) where α, β depend on x 1 and γ := (x 2,..., x n) 2 given γ and updating x i, refreshing γ costs O(1) by maintaining γ, proj Q n is cheap, and T = linear cheap is CF 10 / 31

24 Fixed-point iterations full update z k+1 = T z k 11 / 31

25 Fixed-point iterations full update z k+1 = T z k (block) coordinate update (CU): choose i k [m], { z k+1 zi k + η((t z k ) i zi k ), if i = i k i = zi k, otherwise. 11 / 31

26 Fixed-point iterations full update z k+1 = T z k (block) coordinate update (CU): choose i k [m], { z k+1 zi k + η((t z k ) i zi k ), if i = i k i = zi k, otherwise. parallel CU: p agents choose I k [m] z k+1 i = { z k i + η((t z k ) i z k i ), z k i, if i I k otherwise. η depends on properties of T, i k, and I k 11 / 31

27 Sync-parallel versus async-parallel Agent 1 idle idle Agent 1 Agent 2 idle Agent 2 Agent 3 idle Agent 3 Synchronous (faster agents must wait) Asynchronous (all agents are non-stop) 12 / 31

28 ARock: async-parallel CU p agents every agent continuously does: pick i k [m], new notation: z k+1 i = { z k i + η((t z k d k ) i z k d k i ), if i = i k z k i, k increases after any agent completes an update z k d k = (z k d k,1 1,..., z k d k,m m ) may be stale allow inconsistent atomic read/write otherwise. 13 / 31

29 Various theories and meanings s: T is contractive in w,, partially/totally async 14 / 31

30 Various theories and meanings s: T is contractive in w,, partially/totally async recent in ML community: async SG and async BCD early works: random i k, bounded delays, Ef has sufficient descent, treat delays as noise, delays independent of i k 14 / 31

31 Various theories and meanings s: T is contractive in w,, partially/totally async recent in ML community: async SG and async BCD early works: random i k, bounded delays, Ef has sufficient descent, treat delays as noise, delays independent of i k state-of-the-art: allow essential cyclic i k, unbounded noise (t 4 or faster decay), Lyapunov analysis, delays as overdue progress, delays can depend on i k 14 / 31

32 Various theories and meanings s: T is contractive in w,, partially/totally async recent in ML community: async SG and async BCD early works: random i k, bounded delays, Ef has sufficient descent, treat delays as noise, delays independent of i k state-of-the-art: allow essential cyclic i k, unbounded noise (t 4 or faster decay), Lyapunov analysis, delays as overdue progress, delays can depend on i k ARock: T is non-expansive in 2 unbounded noise (t 4 or faster decay), Lyapunov analysis, delays as overdue progress, delays independent of i k, provable running time async:sync= 1 : log(p) in a poisson system, prox is async Combettes-Eckstein: async projective splitting, free of parameter 14 / 31

33 Various theories and meanings s: T is contractive in w,, partially/totally async recent in ML community: async SG and async BCD early works: random i k, bounded delays, Ef has sufficient descent, treat delays as noise, delays independent of i k state-of-the-art: allow essential cyclic i k, unbounded noise (t 4 or faster decay), Lyapunov analysis, delays as overdue progress, delays can depend on i k ARock: T is non-expansive in 2 unbounded noise (t 4 or faster decay), Lyapunov analysis, delays as overdue progress, delays independent of i k, provable running time async:sync= 1 : log(p) in a poisson system, prox is async Combettes-Eckstein: async projective splitting, free of parameter in distributed comp, also refer to: random activations, may not delay 14 / 31

34 ARock convergence 4 notation: m = # blocks τ = max async delay uniform random selection (non-uniform is okay) Theorem (known max delay) Assume: T is nonexpansive and has a fixed point, and delays do not depend on 1 i k. Use step size η k [ɛ, ). Then, 2m 1/2 τ+1 xk x FixT almost surely. 4 Peng-Xu-Yan-Y. SISC / 31

35 ARock convergence 4 notation: m = # blocks τ = max async delay uniform random selection (non-uniform is okay) Theorem (known max delay) Assume: T is nonexpansive and has a fixed point, and delays do not depend on 1 i k. Use step size η k [ɛ, ). Then, 2m 1/2 τ+1 xk x FixT almost surely. consequence: no sync at least until using O( m) agents sharp when τ m 4 Peng-Xu-Yan-Y. SISC / 31

36 Optimization and fixed-point examples 16 / 31

37 Applications 17 / 31

38 More complicated applications LP, QP, SOCP, some SDP Image reconstruction minimization Nonnegative matrix factorization Decentralized optimization (no global coordination anymore!) 18 / 31

39 QCQP test: ARock versus SCS 5 5 O Donoghue, Chu, Parikh, Boyd / 31

40 Practice coding: OpenMP, C++11, MPI easier than you think performance: if done correctly, async speed sync speed much faster when systems get bigger and/or unbalanced 20 / 31

41 An ideal solver find a solution if there is one 21 / 31

42 An ideal solver find a solution if there is one when there is no solution, reliably report no solution 21 / 31

43 An ideal solver find a solution if there is one when there is no solution, reliably report no solution provide a certificate 21 / 31

44 An ideal solver find a solution if there is one when there is no solution, reliably report no solution provide a certificate suggest the cheapest fix 21 / 31

45 An ideal solver find a solution if there is one when there is no solution, reliably report no solution provide a certificate suggest the cheapest fix status: achievable for LP, not for SOCPs yet 21 / 31

46 Conic programming p = min c T x K is a closed convex cone subject to Ax }{{ = } b, x K x L 22 / 31

47 Conic programming p = min c T x K is a closed convex cone subject to Ax }{{ = } b, x K x L every problem falls in exactly one of the seven cases: 1) p finite: 1a) has PD sol pair, 1b) only P sol, 1c) no P sol 22 / 31

48 Conic programming p = min c T x K is a closed convex cone subject to Ax }{{ = } b, x K x L every problem falls in exactly one of the seven cases: 1) p finite: 1a) has PD sol pair, 1b) only P sol, 1c) no P sol 2) p = : 2a) has improving dir, 2b) no improving dir 22 / 31

49 Conic programming p = min c T x K is a closed convex cone subject to Ax }{{ = } b, x K x L every problem falls in exactly one of the seven cases: 1) p finite: 1a) has PD sol pair, 1b) only P sol, 1c) no P sol 2) p = : 2a) has improving dir, 2b) no improving dir 3) p = + : 3a) dist(l, K) > 0 has separating hyperplane 3b) dist(l, K) = 0 no strict separating hyperplane (nearly) pathological cases fail existing solvers 22 / 31

50 Example 1 3-variable problem: minimize x 1 subject to x 2 = 1, 2x 2x 3 x 2 1. since x 2, x 3 0, the problem is equivalent to minimize x 1 subject to x 2 = 1, (x 1, x 2, x 3) rotated second-order cone. 6 p =, by letting x3 and x 1 7 reason: any improving direction u has form (u1, 0, u 3 ), but by the cone constraint 2u 2 u 3 = 0 u 2 1, so u 1 = 0, which implies c T u 1 = 0 (not improving). 23 / 31

51 Example 1 3-variable problem: minimize x 1 subject to x 2 = 1, 2x 2x 3 x 2 1. since x 2, x 3 0, the problem is equivalent to minimize x 1 subject to x 2 = 1, (x 1, x 2, x 3) rotated second-order cone. classification: (2b) feasible unbounded 6 no improving direction 7 6 p =, by letting x3 and x 1 7 reason: any improving direction u has form (u1, 0, u 3 ), but by the cone constraint 2u 2 u 3 = 0 u 2 1, so u 1 = 0, which implies c T u 1 = 0 (not improving). 23 / 31

52 Example 1 3-variable problem: minimize x 1 subject to x 2 = 1, 2x 2x 3 x 2 1. since x 2, x 3 0, the problem is equivalent to minimize x 1 subject to x 2 = 1, (x 1, x 2, x 3) rotated second-order cone. classification: (2b) feasible unbounded 6 no improving direction 7 solver results: SDPT3: Failed, p no reported SeDuMi: Inaccurate/Solved, p = Mosek: Inaccurate/Unbounded, p = 6 p =, by letting x3 and x 1 7 reason: any improving direction u has form (u1, 0, u 3 ), but by the cone constraint 2u 2 u 3 = 0 u 2 1, so u 1 = 0, which implies c T u 1 = 0 (not improving). 23 / 31

53 Example 2 3-variable problem: minimize 0 subject to [ ] [ ] x =, x 3 x x2 2. }{{}}{{} x K x L 8 x L imply x = [1, α, α] T, α R, which always violates the second-order cone constraint. 9 dist(l, K) [1, α, α] [1, α, (α 2 + 1) 1/2 ] 2 0 as α. 24 / 31

54 Example 2 3-variable problem: minimize 0 subject to [ ] [ ] x =, x 3 x x2 2. }{{}}{{} x K x L classification: (3b) infeasible 8, L K = dist(l, K) = 0 9 no strict separating hyperplane 8 x L imply x = [1, α, α] T, α R, which always violates the second-order cone constraint. 9 dist(l, K) [1, α, α] [1, α, (α 2 + 1) 1/2 ] 2 0 as α. 24 / 31

55 Example 2 3-variable problem: minimize 0 subject to [ ] [ ] x =, x 3 x x2 2. }{{}}{{} x K x L classification: (3b) infeasible 8, L K = dist(l, K) = 0 9 no strict separating hyperplane solver results: SDPT3: Infeasible, p = SeDuMi: Solved, p = 0 Mosek: Failed, p not reported 8 x L imply x = [1, α, α] T, α R, which always violates the second-order cone constraint. 9 dist(l, K) [1, α, α] [1, α, (α 2 + 1) 1/2 ] 2 0 as α. 24 / 31

56 Then, what happens to DRS? In 1970s, Paty, Rockafellar assume T is firmly nonexpansive run z k+1 = T (z k ) converges if has PD sol; otherwise, z k In 1979, Bailion-Bruck-Reich nailed z k z k+1 v = Proj ran(i T ) (0) 25 / 31

57 Our analysis results (Liu-Ryu-Y. 17) rate of convergence: z k z k+1 v + ɛ + O( 1 k+1 ) 26 / 31

58 Our analysis results (Liu-Ryu-Y. 17) rate of convergence: z k z k+1 v + ɛ + O( 1 k+1 ) deciphered Proj ran(i T ) 26 / 31

59 Our analysis results (Liu-Ryu-Y. 17) rate of convergence: z k z k+1 v + ɛ + O( 1 k+1 ) deciphered Proj ran(i T ) a workflow running three similar DRS, differ by only constants: 1) DRS 2) feasibility DRS with c = 0 3) boundedness DRS with b = 0 most pathological cases are identified 26 / 31

60 Our analysis results (Liu-Ryu-Y. 17) rate of convergence: z k z k+1 v + ɛ + O( 1 k+1 ) deciphered Proj ran(i T ) a workflow running three similar DRS, differ by only constants: 1) DRS 2) feasibility DRS with c = 0 3) boundedness DRS with b = 0 most pathological cases are identified compute an improving direction if one exists 26 / 31

61 Our analysis results (Liu-Ryu-Y. 17) rate of convergence: z k z k+1 v + ɛ + O( 1 k+1 ) deciphered Proj ran(i T ) a workflow running three similar DRS, differ by only constants: 1) DRS 2) feasibility DRS with c = 0 3) boundedness DRS with b = 0 most pathological cases are identified compute an improving direction if one exists compute a separating hyperplane if one exists 26 / 31

62 Our analysis results (Liu-Ryu-Y. 17) rate of convergence: z k z k+1 v + ɛ + O( 1 k+1 ) deciphered Proj ran(i T ) a workflow running three similar DRS, differ by only constants: 1) DRS 2) feasibility DRS with c = 0 3) boundedness DRS with b = 0 most pathological cases are identified compute an improving direction if one exists compute a separating hyperplane if one exists for all infeasible problems, minimally change to restore strong feasibility 26 / 31

63 Decision flow 27 / 31

64 Infeasible SDP test set (Liu-Pataki 17) m = 10 m = 20 Clean Messy Clean Messy SeDuMi SDPT Mosek PP 10 +SeDuMi percentage of success detection on clean and messy examples in Liu-Pataki PreProcessing by Permenter-Parilo / 31

65 Identify weakly infeasible SDPs m = 10 m = 20 Clean Messy Clean Messy Proposed (stopping: z 1e ) our percentage is way much better! 29 / 31

66 Identify strongly infeasible SDPs m = 10 m = 20 Clean Messy Clean Messy Proposed (stopping: z 5e4 z 5e ) our percentage is way much better! 30 / 31

67 Thank you! References: UCLA CAM reports 15-37: ARock 16-13: Coordinate friendly, SOCP applications 17-30: Unbounded and realistic-delay async BCD 17-31: DRS for unsolvable conic programs arxiv: : provably async-to-sync speedup 31 / 31