论文标题
通过日志凸面程序区分
Differentiating through Log-Log Convex Programs
论文作者
论文摘要
我们展示了如何有效地计算日志凸点程序(LLCPS)的解决方案图的衍生物(存在)。这些是NonConvex,非平滑优化问题,具有正变量,当变量,目标函数和约束函数被其日志替换时,它们会变成凸。我们专门关注由纪律几何编程生成的LLCP,该语法由一组具有已知日志曲率的原子函数和用于组合它们的组成规则。我们代表参数化的参数转换,凸优化问题以及凸优化问题解决方案的指数转换的组成。使用最近开发的方法通过凸优化问题来区分该组合物的衍生物可以有效地计算。我们在CVXPY中实现了我们的方法,该方法是一种带有Python的建模语言和重写系统,以进行凸优化。在仅几行代码中,用户可以指定参数化的LLCP,解决并评估向量处的派生型或其伴随。这使得对参数的扰动进行溶液的敏感性分析是可能的,并计算溶液相对于参数的函数的梯度。我们使用衍生物的伴随来在Pytorch和Tensorflow中实现可区分的日志凸优化层。最后,我们向设计排队系统和拟合结构化预测模型提供了应用。
We show how to efficiently compute the derivative (when it exists) of the solution map of log-log convex programs (LLCPs). These are nonconvex, nonsmooth optimization problems with positive variables that become convex when the variables, objective functions, and constraint functions are replaced with their logs. We focus specifically on LLCPs generated by disciplined geometric programming, a grammar consisting of a set of atomic functions with known log-log curvature and a composition rule for combining them. We represent a parametrized LLCP as the composition of a smooth transformation of parameters, a convex optimization problem, and an exponential transformation of the convex optimization problem's solution. The derivative of this composition can be computed efficiently, using recently developed methods for differentiating through convex optimization problems. We implement our method in CVXPY, a Python-embedded modeling language and rewriting system for convex optimization. In just a few lines of code, a user can specify a parametrized LLCP, solve it, and evaluate the derivative or its adjoint at a vector. This makes it possible to conduct sensitivity analyses of solutions, given perturbations to the parameters, and to compute the gradient of a function of the solution with respect to the parameters. We use the adjoint of the derivative to implement differentiable log-log convex optimization layers in PyTorch and TensorFlow. Finally, we present applications to designing queuing systems and fitting structured prediction models.