用安全梯度流方法,单循环求解嵌套优化问题。
Safe Gradient Flow for Bilevel Optimization
- 设计安全滤波器确保底层决策满足约束。
- 理论证明系统收敛到最优解附近。
- 适合需高效求解嵌套优化的工程场景。
双层优化是层级决策的核心框架,其中一层问题嵌入另一层的约束中。本文提出一种控制论方法求解双层优化问题,包含两个部分:上层目标的梯度流机制与强制下层约束的安全滤波器。二者协同构成单循环的安全梯度流,有效求解双层问题。为提升对下层维度的可扩展性,引入松弛形式并设计紧凑变体,该变体在保证下层变量处于用户定义的次优范围内时,最小化上层目标。通过李雅普诺夫分析,建立了动态系统的收敛性保证,证明其收敛至最优解邻域。数值实验进一步验证了所提方法的有效性。本工作为高效求解双层优化问题提供了理论洞见与实用工具。
原文摘要 · Abstract (English)
Bilevel optimization is a key framework in hierarchical decision-making, where one problem is embedded within the constraints of another. In this work, we propose a control-theoretic approach to solving bilevel optimization problems. Our method consists of two components: a gradient flow mechanism to minimize the upper-level objective and a safety filter to enforce the constraints imposed by the lower-level problem. Together, these components form a safe gradient flow that solves the bilevel problem in a single loop. To improve scalability with respect to the lower-level problem's dimensions, we introduce a relaxed formulation and design a compact variant of the safe gradient flow. This variant minimizes the upper-level objective while ensuring the lower-level decision variable remains within a user-defined suboptimality. Using Lyapunov analysis, we establish convergence guarantees for the dynamics, proving that they converge to a neighborhood of the optimal solution. Numerical experiments further validate the effectiveness of the proposed approaches. Our contributions provide both theoretical insights and practical tools for efficiently solving bilevel optimization problems.
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