Welcome to PEPit’s documentation!

Contents:

PEPit: Performance Estimation in Python

This open source Python library provides a generic way to use PEP framework in Python. Performance estimation problems were introduced in 2014 by Yoel Drori and Marc Teboulle, see [1]. PEPit is mainly based on the formalism and developments from [2, 3] by a subset of the authors of this toolbox. A friendly informal introduction to this formalism is available in this blog post and a corresponding Matlab library is presented in [4] (PESTO).

Website and documentation of PEPit: https://pepit.readthedocs.io/

Source Code (MIT): https://github.com/bgoujaud/PEPit

Using and citing the toolbox

This code comes jointly with the following reference:

B. Goujaud, C. Moucer, F. Glineur, J. Hendrickx, A. Taylor, A. Dieuleveut (2022).
"PEPit: computer-assisted worst-case analyses of first-order optimization methods in Python."

When using the toolbox in a project, please refer to this note via this Bibtex entry:

@article{pepit2022,
  title={{PEPit}: computer-assisted worst-case analyses of first-order optimization methods in {P}ython},
  author={Goujaud, Baptiste and Moucer, C\'eline and Glineur, Fran\c{c}ois and Hendrickx, Julien and Taylor, Adrien and Dieuleveut, Aymeric},
  journal={arXiv preprint arXiv:2201.04040},
  year={2022}
}

Demo 

This notebook provides a demonstration of how to use PEPit to obtain a worst-case guarantee on a simple algorithm (gradient descent), and a more advanced analysis of three other examples.

Installation

The library has been tested on Linux and MacOSX. It relies on the following Python modules:

Numpy
Scipy
Cvxpy
Matplotlib (for the demo notebook)

Pip installation

You can install the toolbox through PyPI with:

pip install pepit

or get the very latest version by running:

pip install -U https://github.com/bgoujaud/PEPit/archive/master.zip # with --user for user install (no root)

Post installation check

After a correct installation, you should be able to import the module without errors:

import PEPit

Online environment

You can also try the package in this Binder repository.

Example

The folder Examples contains numerous introductory examples to the toolbox.

Among the other examples, the following code (see GradientMethod) generates a worst-case scenario for $N$ iterations of the gradient method, applied to the minimization of a smooth (possibly strongly) convex function f(x). More precisely, this code snippet allows computing the worst-case value of $f(x_N)-f_\star$ when $x_N$ is generated by gradient descent, and when $\|x_0-x_\star\|=1$ .

from PEPit import PEP
from PEPit.functions import SmoothStronglyConvexFunction


def wc_gradient_descent(L, gamma, n, verbose=True):
    """
    Consider the convex minimization problem

    .. math:: f_\\star \\triangleq \\min_x f(x),

    where :math:`f` is :math:`L`-smooth and convex.

    This code computes a worst-case guarantee for **gradient descent** with fixed step-size :math:`\\gamma`.
    That is, it computes the smallest possible :math:`\\tau(n, L, \\gamma)` such that the guarantee

    .. math:: f(x_n) - f_\\star \\leqslant \\tau(n, L, \\gamma) || x_0 - x_\\star ||^2

    is valid, where :math:`x_n` is the output of gradient descent with fixed step-size :math:`\\gamma`, and
    where :math:`x_\\star` is a minimizer of :math:`f`.

    In short, for given values of :math:`n`, :math:`L`, and :math:`\\gamma`, :math:`\\tau(n, L, \\gamma)` is computed as the worst-case
    value of :math:`f(x_n)-f_\\star` when :math:`||x_0 - x_\\star||^2 \\leqslant 1`.

    **Algorithm**:
    Gradient descent is described by

    .. math:: x_{t+1} = x_t - \\gamma \\nabla f(x_t),

    where :math:`\\gamma` is a step-size.

    **Theoretical guarantee**:
    When :math:`\\gamma \\leqslant \\frac{1}{L}`, the **tight** theoretical guarantee can be found in [1, Theorem 1]:

    .. math:: f(x_n)-f_\\star \\leqslant \\frac{L||x_0-x_\\star||^2}{4nL\\gamma+2},

    which is tight on some Huber loss functions.

    **References**:

    `[1] Y. Drori, M. Teboulle (2014). Performance of first-order methods for smooth convex minimization: a novel
    approach. Mathematical Programming 145(1–2), 451–482.
    <https://arxiv.org/pdf/1206.3209.pdf>`_

    Args:
        L (float): the smoothness parameter.
        gamma (float): step-size.
        n (int): number of iterations.
        verbose (bool): if True, print conclusion

    Returns:
        pepit_tau (float): worst-case value
        theoretical_tau (float): theoretical value

    Example:
        >>> L = 3
        >>> pepit_tau, theoretical_tau = wc_gradient_descent(L=L, gamma=1 / L, n=4, verbose=True)
        (PEPit) Setting up the problem: size of the main PSD matrix: 7x7
        (PEPit) Setting up the problem: performance measure is minimum of 1 element(s)
        (PEPit) Setting up the problem: initial conditions (1 constraint(s) added)
        (PEPit) Setting up the problem: interpolation conditions for 1 function(s)
                 function 1 : 30 constraint(s) added
        (PEPit) Compiling SDP
        (PEPit) Calling SDP solver
        (PEPit) Solver status: optimal (solver: MOSEK); optimal value: 0.16666666497937685
        *** Example file: worst-case performance of gradient descent with fixed step-sizes ***
            PEPit guarantee:             f(x_n)-f_* <= 0.166667 ||x_0 - x_*||^2
            Theoretical guarantee:       f(x_n)-f_* <= 0.166667 ||x_0 - x_*||^2

    """

    # Instantiate PEP
    problem = PEP()

    # Declare a strongly convex smooth function
    func = problem.declare_function(SmoothStronglyConvexFunction, param={'mu': 0, 'L': L})

    # Start by defining its unique optimal point xs = x_* and corresponding function value fs = f_*
    xs = func.stationary_point()
    fs = func.value(xs)

    # Then define the starting point x0 of the algorithm
    x0 = problem.set_initial_point()

    # Set the initial constraint that is the distance between x0 and x^*
    problem.set_initial_condition((x0 - xs) ** 2 <= 1)

    # Run n steps of the GD method
    x = x0
    for _ in range(n):
        x = x - gamma * func.gradient(x)

    # Set the performance metric to the function values accuracy
    problem.set_performance_metric(func.value(x) - fs)

    # Solve the PEP
    pepit_tau = problem.solve(verbose=verbose)

    # Compute theoretical guarantee (for comparison)
    theoretical_tau = L / (2 * (2 * n * L * gamma + 1))

    # Print conclusion if required
    if verbose:
        print('*** Example file: worst-case performance of gradient descent with fixed step-sizes ***')
        print('\tPEPit guarantee:\t\t f(x_n)-f_* <= {:.6} ||x_0 - x_*||^2'.format(pepit_tau))
        print('\tTheoretical guarantee:\t f(x_n)-f_* <= {:.6} ||x_0 - x_*||^2'.format(theoretical_tau))

    # Return the worst-case guarantee of the evaluated method (and the reference theoretical value)
    return pepit_tau, theoretical_tau


if __name__ == "__main__":

    L = 3
    pepit_tau, theoretical_tau = wc_gradient_descent(L=L, gamma=1 / L, n=4, verbose=True)

Included tools

A lot of common optimization methods can be studied through this framework, using numerous steps and under a large variety of function / operator classes.

PEPit provides the following steps (often referred to as “oracles”):

PEPit provides the following function classes CNIs:

PEPit provides the following operator classes CNIs:

Authors

This toolbox has been created by

Baptiste Goujaud (main contributor #1)
Céline Moucer (main contributor #2)
Julien Hendrickx (project supervision)
François Glineur (project supervision)
Adrien Taylor (contributor & main project supervision)
Aymeric Dieuleveut (contributor & main project supervision)

Acknowledgments

The authors would like to thank Rémi Flamary for his feedbacks on preliminary versions of the toolbox, as well as for support regarding the continuous integration.

Contributions

All external contributions are welcome. Please read the contribution guidelines.

References

[1] Y. Drori, M. Teboulle (2014). Performance of first-order methods for smooth convex minimization: a novel approach. Mathematical Programming 145(1–2), 451–482.

[2] A. Taylor, J. Hendrickx, F. Glineur (2017). Smooth strongly convex interpolation and exact worst-case performance of first-order methods. Mathematical Programming, 161(1-2), 307-345.

[3] A. Taylor, J. Hendrickx, F. Glineur (2017). Exact worst-case performance of first-order methods for composite convex optimization. SIAM Journal on Optimization, 27(3):1283–1313.

[4] A. Taylor, J. Hendrickx, F. Glineur (2017). Performance Estimation Toolbox (PESTO): automated worst-case analysis of first-order optimization methods. In 56th IEEE Conference on Decision and Control (CDC).

[5] A. d’Aspremont, D. Scieur, A. Taylor (2021). Acceleration Methods. Foundations and Trends in Optimization: Vol. 5, No. 1-2.

[6] O. Güler (1992). New proximal point algorithms for convex minimization. SIAM Journal on Optimization, 2(4):649–664.

[7] Y. Drori (2017). The exact information-based complexity of smooth convex minimization. Journal of Complexity, 39, 1-16.

[8] E. De Klerk, F. Glineur, A. Taylor (2017). On the worst-case complexity of the gradient method with exact line search for smooth strongly convex functions. Optimization Letters, 11(7), 1185-1199.

[9] B.T. Polyak (1964). Some methods of speeding up the convergence of iteration method. URSS Computational Mathematics and Mathematical Physics.

[10] E. Ghadimi, H. R. Feyzmahdavian, M. Johansson (2015). Global convergence of the Heavy-ball method for convex optimization. European Control Conference (ECC).

[11] E. De Klerk, F. Glineur, A. Taylor (2020). Worst-case convergence analysis of inexact gradient and Newton methods through semidefinite programming performance estimation. SIAM Journal on Optimization, 30(3), 2053-2082.

[12] O. Gannot (2021). A frequency-domain analysis of inexact gradient methods. Mathematical Programming.

[13] D. Kim, J. Fessler (2016). Optimized first-order methods for smooth convex minimization. Mathematical Programming 159.1-2: 81-107.

[14] S. Cyrus, B. Hu, B. Van Scoy, L. Lessard (2018). A robust accelerated optimization algorithm for strongly convex functions. American Control Conference (ACC).

[15] Y. Nesterov (2003). Introductory lectures on convex optimization: A basic course. Springer Science & Business Media.

[16] S. Boyd, L. Xiao, A. Mutapcic (2003). Subgradient Methods (lecture notes).

[17] Y. Drori, M. Teboulle (2016). An optimal variant of Kelley’s cutting-plane method. Mathematical Programming, 160(1), 321-351.

[18] Van Scoy, B., Freeman, R. A., Lynch, K. M. (2018). The fastest known globally convergent first-order method for minimizing strongly convex functions. IEEE Control Systems Letters, 2(1), 49-54.

[19] P. Patrinos, L. Stella, A. Bemporad (2014). Douglas-Rachford splitting: Complexity estimates and accelerated variants. In 53rd IEEE Conference on Decision and Control (CDC).

[20] Y. Censor, S.A. Zenios (1992). Proximal minimization algorithm with D-functions. Journal of Optimization Theory and Applications, 73(3), 451-464.

[21] E. Ryu, S. Boyd (2016). A primer on monotone operator methods. Applied and Computational Mathematics 15(1), 3-43.

[22] E. Ryu, A. Taylor, C. Bergeling, P. Giselsson (2020). Operator splitting performance estimation: Tight contraction factors and optimal parameter selection. SIAM Journal on Optimization, 30(3), 2251-2271.

[23] P. Giselsson, and S. Boyd (2016). Linear convergence and metric selection in Douglas-Rachford splitting and ADMM. IEEE Transactions on Automatic Control, 62(2), 532-544.

[24] M .Frank, P. Wolfe (1956). An algorithm for quadratic programming. Naval research logistics quarterly, 3(1-2), 95-110.

[25] M. Jaggi (2013). Revisiting Frank-Wolfe: Projection-free sparse convex optimization. In 30th International Conference on Machine Learning (ICML).

[26] A. Auslender, M. Teboulle (2006). Interior gradient and proximal methods for convex and conic optimization. SIAM Journal on Optimization 16.3 (2006): 697-725.

[27] H.H. Bauschke, J. Bolte, M. Teboulle (2017). A Descent Lemma Beyond Lipschitz Gradient Continuity: First-Order Methods Revisited and Applications. Mathematics of Operations Research, 2017, vol. 42, no 2, p. 330-348

[28] R. Dragomir, A. Taylor, A. d’Aspremont, J. Bolte (2021). Optimal complexity and certification of Bregman first-order methods. Mathematical Programming, 1-43.

[29] A. Taylor, J. Hendrickx, F. Glineur (2018). Exact worst-case convergence rates of the proximal gradient method for composite convex minimization. Journal of Optimization Theory and Applications, 178(2), 455-476.

[30] B. Polyak (1987). Introduction to Optimization. Optimization Software New York.

[31] L. Lessard, B. Recht, A. Packard (2016). Analysis and design of optimization algorithms via integral quadratic constraints. SIAM Journal on Optimization 26(1), 57–95.

[32] D. Davis, W. Yin (2017). A three-operator splitting scheme and its optimization applications. Set-valued and variational analysis, 25(4), 829-858.

[33] Taylor, A. B. (2017). Convex interpolation and performance estimation of first-order methods for convex optimization. PhD Thesis, UCLouvain.

[34] H. Abbaszadehpeivasti, E. de Klerk, M. Zamani (2021). The exact worst-case convergence rate of the gradient method with fixed step lengths for L-smooth functions. arXiv 2104.05468.

[35] J. Bolte, S. Sabach, M. Teboulle, Y. Vaisbourd (2018). First order methods beyond convexity and Lipschitz gradient continuity with applications to quadratic inverse problems. SIAM Journal on Optimization, 28(3), 2131-2151.

[36] A. Defazio (2016). A simple practical accelerated method for finite sums. Advances in Neural Information Processing Systems (NIPS), 29, 676-684.

[37] A. Defazio, F. Bach, S. Lacoste-Julien (2014). SAGA: A fast incremental gradient method with support for non-strongly convex composite objectives. In Advances in Neural Information Processing Systems (NIPS).

[38] B. Hu, P. Seiler, L. Lessard (2020). Analysis of biased stochastic gradient descent using sequential semidefinite programs. Mathematical programming (to appear).

[39] A. Taylor, F. Bach (2019). Stochastic first-order methods: non-asymptotic and computer-aided analyses via potential functions. Conference on Learning Theory (COLT).

[40] D. Kim (2021). Accelerated proximal point method for maximally monotone operators. Mathematical Programming, 1-31.

[41] W. Moursi, L. Vandenberghe (2019). Douglas–Rachford Splitting for the Sum of a Lipschitz Continuous and a Strongly Monotone Operator. Journal of Optimization Theory and Applications 183, 179–198.

[42] G. Gu, J. Yang (2020). Tight sublinear convergence rate of the proximal point algorithm for maximal monotone inclusion problem. SIAM Journal on Optimization, 30(3), 1905-1921.

[43] F. Lieder (2021). On the convergence rate of the Halpern-iteration. Optimization Letters, 15(2), 405-418.

[44] F. Lieder (2018). Projection Based Methods for Conic Linear Programming Optimal First Order Complexities and Norm Constrained Quasi Newton Methods. PhD thesis, HHU Düsseldorf.

[45] Y. Nesterov (1983). A method for solving the convex programming problem with convergence rate :math:O(1/k^2). In Dokl. akad. nauk Sssr (Vol. 269, pp. 543-547).

[46] N. Bansal, A. Gupta (2019). Potential-function proofs for gradient methods. Theory of Computing, 15(1), 1-32.

[47] M. Barre, A. Taylor, F. Bach (2021). A note on approximate accelerated forward-backward methods with absolute and relative errors, and possibly strongly convex objectives. arXiv:2106.15536v2.

[48] J. Eckstein and W. Yao (2018). Relative-error approximate versions of Douglas–Rachford splitting and special cases of the ADMM. Mathematical Programming, 170(2), 417-444.

[49] M. Barré, A. Taylor, A. d’Aspremont (2020). Complexity guarantees for Polyak steps with momentum. In Conference on Learning Theory (COLT).

[50] D. Kim, J. Fessler (2017). On the convergence analysis of the optimized gradient method. Journal of Optimization Theory and Applications, 172(1), 187-205.

[51] Steven Diamond and Stephen Boyd (2016). CVXPY: A Python-embedded modeling language for convex optimization. Journal of Machine Learning Research (JMLR) 17.83.1–5 (2016).

[52] Agrawal, Akshay and Verschueren, Robin and Diamond, Steven and Boyd, Stephen (2018). A rewriting system for convex optimization problems. Journal of Control and Decision (JCD) 5.1.42–60 (2018).

[53] Adrien Taylor, Bryan Van Scoy, Laurent Lessard (2018). Lyapunov Functions for First-Order Methods: Tight Automated Convergence Guarantees. International Conference on Machine Learning (ICML).

[54] B. Goujaud, C. Moucer, F. Glineur, J. Hendrickx, A. Taylor, A. Dieuleveut (2022). PEPit: computer-assisted worst-case analyses of first-order optimization methods in Python.