ProxSTORM - A Stochastic Trust Region Method for Nonsmooth Optimization
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Engineering topics
Publications and source records attributed to Kouri, Drew Philip.
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Total Variation optimization penalizes the gradient of a control variable or state. While this work focuses on image processing in particular, it has also found applications in inverse problems and topology optimization. In image processing, the goal is to maintain faithfulness to the original image while denoising and/or deblurring. Additionally, bilevel optimization over the spatially varying regularization weights can illuminate interfaces such as damage regions and other anomalies. We will address two fundamental challenges with TV-optimization: (i) the typical slow convergence of existing TV-optimization methods, and (ii) the selection of spatially varying TV parameters to promote interface detection. Additionally, we will apply such techniques to image data collected in additive manufacturing. In said context, stochasticity in build events induces flaws in the manufactured piece, compromising the integrity of said part. There is a critical need for in-situ monitoring to spot anomalies once they form, and in this setting we apply our total variation and hyperparameter solvers. We will develop a customized algorithm based on for extreme-scale TV-optimization that achieves super-linear or quadratic-convergence, a critical property for real-time, image-by-image analysis. A worst-case outcome is a preprocessing step that enhances image quality in-situ, specifically for out-of-focus and noisy images.
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In Baraldi, we introduced an inexact trust-region algorithm for minimizing the sum of a smooth nonconvex function and a nonsmooth convex function in Hilbert space—a class of problems that is ubiquitous in data science, learning, optimal control, and inverse problems. Furthermore, this algorithm has demonstrated excellent performance and scalability with problem size. In this paper, we enrich the convergence analysis for this algorithm, proving strong convergence of the iterates with guaranteed rates. In particular, we demonstrate that the trust-region algorithm recovers superlinear, even quadratic, convergence rates when using a second-order Taylor approximation of the smooth objective function term.
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Here we present a new algorithm for infinite-dimensional optimization with general constraints, called ALESQP. In short, ALESQP is an augmented Lagrangian method that penalizes inequality constraints and solves equality-constrained nonlinear optimization subproblems at every iteration. The subproblems are solved using a matrix-free trust-region sequential quadratic programming (SQP) method that takes advantage of iterative, i.e., inexact linear solvers, and is suitable for large-scale applications. A key feature of ALESQP is a constraint decomposition strategy that allows it to exploit problem-specific variable scalings and inner products. We analyze convergence of ALESQP under different assumptions. We show that strong accumulation points are stationary. Consequently, in finite dimensions ALESQP converges to a stationary point. In infinite dimensions we establish that weak accumulation points are feasible in many practical situations. Under additional assumptions we show that weak accumulation points are stationary. We present several infinite-dimensional examples where ALESQP shows remarkable discretization-independent performance in all of its iterative components, requiring a modest number of iterations to meet constraint tolerances at the level of machine precision. Also, we demonstrate a fully matrix-free solution of an infinite-dimensional problem with nonlinear inequality constraints.
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