Bilevel Optimization for Machine Learning: Algorithm Design and Convergence Analysis
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by
Kaiyi Ji
2021
Abstract
Bilevel optimization has become a powerful framework in various machine
learning applications including meta-learning, hyperparameter optimization, and
network architecture search. There are generally two classes of bilevel
optimization formulations for machine learning: 1) problem-based bilevel
optimization, whose inner-level problem is formulated as finding a minimizer of
a given loss function; and 2) algorithm-based bilevel optimization, whose
inner-level solution is an output of a fixed algorithm. For the first class,
two popular types of gradient-based algorithms have been proposed for
hypergradient estimation via approximate implicit differentiation (AID) and
iterative differentiation (ITD). Algorithms for the second class include the
popular model-agnostic meta-learning (MAML) and almost no inner loop (ANIL).
However, the convergence rate and fundamental limitations of bilevel
optimization algorithms have not been well explored.
This thesis provides a comprehensive convergence rate analysis for bilevel
algorithms in the aforementioned two classes. We further propose principled
algorithm designs for bilevel optimization with higher efficiency and
scalability. For the problem-based formulation, we provide a convergence rate
analysis for AID- and ITD-based bilevel algorithms. We then develop
acceleration bilevel algorithms, for which we provide shaper convergence
analysis with relaxed assumptions. We also provide the first lower bounds for
bilevel optimization, and establish the optimality by providing matching upper
bounds under certain conditions. We finally propose new stochastic bilevel
optimization algorithms with lower complexity and higher efficiency in
practice. For the algorithm-based formulation, we develop a theoretical
convergence for general multi-step MAML and ANIL, and characterize the impact
of parameter selections and loss geometries on the their complexities.
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