01/07

January 7, 2020

Talk of Prof. Julien M. Hendrickx

--- Title: Automatic Computation of Exact Worst-case Performance for First-order Optimization Methods

Time
January 7, 2020

Prof. Julien M. Hendrickx
Institute of Information and Communication Technologies, Electronics and Applied Mathematics
Université Catholique de Louvain
Louvain-la-Neuve, Belgium

 

Tuesday 2020-01-07 16:00
IST-Seminar-Room V9.2.255 - Pfaffenwaldring 9 - Campus Stuttgart-Vaihingen

 

Abstract

We show that the exact worst-case performances of a wide class of first-order convex optimization algorithms can be obtained as solutions to semi-definite programs, which provide both the performance bounds and functions on which these are reached.  Our formulation is based on a necessary and sufficient condition for smooth (strongly) convex interpolation, allowing for a finite representation for smooth (strongly) convex functions in this context. These results allow improving the performance bounds of many classical algorithms, and better understanding their dependence on the algorithm's parameters, leading to new optimized parameters, and thus stronger performances. Our approach can be applied via the PESTO Toolbox, which let the user describe algorithms in a natural way.

Biographical Information

Julien M. Hendrickx is a professor of mathematical engineering at UCLouvain, in the Ecole Polytechnique de Louvain since 2010. He obtained an engineering degree in applied mathematics (2004) and a PhD in mathematical engineering (2008) from the same university. He has been a visiting researcher at the University of Illinois at Urbana Champaign in 2003-2004, at the National ICT Australia in 2005 and 2006, and at the Massachusetts Institute of Technology in 2006 and 2008. He was a postdoctoral fellow at the Laboratory for Information and Decision Systems of the Massachusetts Institute of Technology 2009 and 2010, holding postdoctoral fellowships of the F.R.S.-FNRS (Fund for Scientific Research) and of Belgian American Education Foundation, and a resident scholar at CISE, Boston University, in 2018-2019. Doctor Hendrickx is the recipient of the 2008 EECI award for the best PhD thesis in Europe in the field of Embedded and Networked Control, and of the Alcatel-Lucent-Bell 2009 award for a PhD thesis on original new concepts or application in the domain of information or communication technologies.

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