Boosting Gradient Ascent for Continuous DR-submodular Maximization · arXivDesk
2401.08330Jan 16, 202474 pages, 6 figures and 9 tables. An extended version of Stochastic Continuous Submodular Maximization: Boosting via Non-oblivious Function (ICML 2022)
Boosting Gradient Ascent for Continuous DR-submodular Maximization
Projected Gradient Ascent (PGA) is the most commonly used optimization scheme in machine learning and operations research areas. Nevertheless, numerous studies and examples have shown that the PGA methods may fail to achieve the tight approximation ratio for continuous DR-submodular maximization problems. To address this challenge, we present a boosting technique in this paper, which can efficiently improve the approximation guarantee of the standard PGA to optimal with only small modifications on the objective function. The fundamental idea of our boosting technique is to exploit non-oblivious search to derive a novel auxiliary function F, whose stationary points are excellent approximations to the global maximum of the original DR-submodular objective f. Specifically, when f is monotone and γ-weakly DR-submodular, we propose an auxiliary function F
Nearby in the stack
whose stationary points can provide a better
(1−e−γ)
-approximation than the
(γ2/(1+γ2))
-approximation guaranteed by the stationary points of
f
itself. Similarly, for the non-monotone case, we devise another auxiliary function
F
whose stationary points can achieve an optimal
41−minx∈C∥x∥∞
-approximation guarantee where
C
is a convex constraint set. In contrast, the stationary points of the original non-monotone DR-submodular function can be arbitrarily bad chen2023continuous. Furthermore, we demonstrate the scalability of our boosting technique on four problems. In all of these four problems, our resulting variants of boosting PGA algorithm beat the previous standard PGA in several aspects such as approximation ratio and efficiency. Finally, we corroborate our theoretical findings with numerical experiments, which demonstrate the effectiveness of our boosting PGA methods.