提出一种稳定收敛的迭代投影方法,可高效求解带熵正则化的线性规划问题。
Robust Sublinear Convergence Rates for Iterative Bregman Projections
- 基于对偶空间中的商范数分析,构建通用证明框架
- 实现与正则化参数γ线性相关的$O(1/k)$收敛率
- 适用于图上Wasserstein距离计算,适合优化与机器学习研究者
熵正则化为分解为多个可处理块的线性规划提供了一种简便近似方法。由此产生的目标函数可通过循环Kullback-Leibler(KL)Bregman投影求解,典型例子包括最优传输、矩阵缩放和加权中心的Sinkhorn算法。本文提出一个通用证明蓝图,可获得$O(1/k)$的对偶收敛速率,其中常数仅随$1/γ$线性增长,γ为熵正则化参数。此类速率称为‘稳健’,因其对γ的弱依赖性确保了通过交替KL投影逼近无正则化问题的优良复杂度。该蓝图将证明简化为统一的原始界和由约束分解诱导的商范数对偶界。为使这些条件可用,本文提出了两个辅助结果,依赖于对偶迭代在该商对偶范数下的非扩张性。将该蓝图应用于图结构传输问题,得到一种新的流-Sinkhorn算法,用于计算图上的Wasserstein-1距离。该算法以$O(p ext{ diameter}^3/\varepsilon^{4})$次算术运算(含对数因子)达到ε-加性精度,其中p为边数。此外,本文还提供了核心蓝图及其图上$\mathrm{W}_1$实例的机器可验证的Lean形式化。
原文摘要 · Abstract (English)
Entropic regularization provides a simple way to approximate linear programs whose constraints split into two or more tractable blocks. The resulting objectives are amenable to cyclic Kullback-Leibler (KL) Bregman projections, with Sinkhorn-type algorithms for optimal transport, matrix scaling, and barycenters as canonical examples. This paper gives a general blueprint for proving $O(1/k)$ dual convergence rate with a constant that scales only linearly in $1/γ$, where $γ$ is the entropic regularization parameter. We call such rates "robust", because this mild dependence on $γ$ underpins favorable complexity bounds for approximating the unregularized problem via alternating KL projections. The blueprint reduces the proof to a uniform primal bound and a dual bound for a quotient norm induced by the constraint split. To make these inputs usable, we propose two helper results, which rely on the non-expansiveness of the dual iterations in this quotient dual norm. Instantiating this blueprint for graph-structured transport yields a new flow-Sinkhorn algorithm for the Wasserstein-1 distance on graphs. It achieves $\varepsilon$-additive accuracy on the transshipment cost in $O(p\,\mathrm{diameter}^3/\varepsilon^{4})$ arithmetic operations (up to logarithmic factors), where $p$ is the number of edges. We also provide a machine-checked Lean formalization of the core blueprint and its graph-$\mathrm{W}_1$ instantiation.
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