Accelerated Infeasibility Detection of Constrained Optimization and Fixed-Point Iterations

Published: 24 Apr 2023, Last Modified: 15 Jun 2023ICML 2023 PosterEveryoneRevisions
Abstract: As first-order optimization methods become the method of choice for solving large-scale optimization problems, optimization solvers based on first-order algorithms are being built. Such general-purpose solvers must robustly detect infeasible or misspecified problem instances, but the computational complexity of first-order methods for doing so has yet to be formally studied. In this work, we characterize the optimal accelerated rate of infeasibility detection. We show that the standard fixed-point iteration achieves a $\mathcal{O}(1/k^2)$ and $\mathcal{O}(1/k)$ rates, respectively, on the normalized iterates and the fixed-point residual converging to the infimal displacement vector, while the accelerated fixed-point iteration achieves $\mathcal{O}(1/k^2)$ and $\tilde{\mathcal{O}}(1/k^2)$ rates. We then provide a matching complexity lower bound to establish that $\Theta(1/k^2)$ is indeed the optimal accelerated rate.
Submission Number: 3838