Optimization via conformal Hamiltonian systems on manifolds
| Autor: | Ghirardelli, Marta |
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| Rok vydání: | 2023 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | In this work we propose a method to perform optimization on manifolds. We assume to have an objective function $f$ defined on a manifold and think of it as the potential energy of a mechanical system. By adding a momentum-dependent kinetic energy we define its Hamiltonian function, which allows us to write the corresponding Hamiltonian system. We make it conformal by introducing a dissipation term: the result is the continuous model of our scheme. We solve it via splitting methods (Lie-Trotter and leapfrog): we combine the RATTLE scheme, approximating the conserved flow, with the exact dissipated flow. The result is a conformal symplectic method for constant stepsizes. We also propose an adaptive stepsize version of it. We test it on an example, the minimization of a function defined on a sphere, and compare it with the usual gradient descent method. Comment: 21 pages, 6 figures, 1 page. Presented at GSI conference 2023 |
| Databáze: | arXiv |
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