S. Gratton

S. Gratton, S. Gürol, E. Simon et al.

This paper discusses the practical use of the saddle variational formulation for the weakly-constrained 4D-VAR method in data assimilation. It is shown that the method, in its original form, may produce erratic results or diverge because of the inherent lack of monotonicity of the produced objective function values. Convergent, variationaly coherent variants of the algorithm are then proposed whose practical performance is compared to that of other formulations. This comparison is conducted on two data assimilation instances (Burgers equation and the Quasi-Geostrophic model), using two different assumptions on parallel computing environment. Because these variants essentially retain the parallelization advantages of the original proposal, they often --- but not always --- perform best, even for moderate numbers of computing processes.

S. Gratton, A. Kopanicakova, Ph. L. Toint

A class of multi-level algorithms for unconstrained nonlinear optimization is presented which does not require the evaluation of the objective function. The class contains the momentum-less AdaGrad method as a particular (single-level) instance. The choice of avoiding the evaluation of the objective function is intended to make the algorithms of the class less sensitive to noise, while the multi-level feature aims at reducing their computational cost. The evaluation complexity of these algorithms is analyzed and their behaviour in the presence of noise is then illustrated in the context of training deep neural networks for supervised learning applications.

S. Gratton, E. Simon, D. Titley-Peloquin et al.

We investigate the method of conjugate gradients, exploiting inaccurate matrix-vector products, for the solution of convex quadratic optimization problems. Theoretical performance bounds are derived, and the necessary quantities occurring in the theoretical bounds estimated, leading to a practical algorithm. Numerical experiments suggest that this approach has significant potential, including in the steadily more important context of multi-precision computations

S. Gratton, Ph. L. Toint

A unified framework for first-order optimization algorithms fornonconvex unconstrained optimization is proposed that uses adaptivelypreconditioned gradients and includes popular methods such as full anddiagonal AdaGrad, AdaNorm, as well as adpative variants of Shampoo andMuon. This framework also allows combining heterogeneous geometriesacross different groups of variables while preserving a unifiedconvergence analysis. A fully stochastic global rate-of-convergenceanalysis is conducted for all methods in the framework, with andwithout two types of momentum, using reasonable assumptions on thevariance of the gradient oracle and without assuming boundedstochastic gradients or small enough stepsize.

S. Gratton, Ph. L. Toint

This short note considers an efficient variant of the trust-region algorithm with dynamic accuracy proposed Carter (1993) and Conn, Gould and Toint (2000) as a tool for very high-performance computing, an area where it is critical to allow multi-precision computations for keeping the energy dissipation under control. Numerical experiments are presented indicating that the use of the considered method can bring substantial savings in objective function's and gradient's evaluation "energy costs" by efficiently exploiting multi-precision computations.