SpeedMapping

SpeedMapping accelerates the convergence of a mapping to a fixed point by the Alternating cyclic extrapolation algorithm. Since gradient descent is an example of such mapping, it can also perform multivariate optimization based on the gradient function. Typical uses are

Accelerating a fixed-point mapping

julia> using SpeedMapping, LinearAlgebra
julia> function power_iteration!(x_out, x_in)
           mul!(x_out, [1 2;2 3], x_in)
           x_out ./= maximum(abs.(x_out))
      end;
julia> dominant_eigenvector = speedmapping(ones(2); m! = power_iteration!).minimizer
2-element Vector{Float64}:
 0.6180339887498947
 1.0

Optimizing a function

julia> using SpeedMapping
julia> rosenbrock(x) =  (1 - x[1])^2 + 100(x[2] - x[1]^2)^2;
julia> solution = speedmapping(zeros(2); f = rosenbrock).minimizer
2-element Vector{Float64}:
 1.0000000000001315
 0.9999999999999812

Documentation

The Alternating cyclic extrapolation algorithm

Let F : ℝⁿ → ℝⁿ denote a mapping which admits continuous, bounded partial derivatives. A p-order cyclic extrapolation may be expressed as

The extrapolation step size is σ⁽ᴾ⁾ and Δᴾ follows Aitken's notation. The algorithm alternates between p = 3 and p = 2. For gradient descent acceleration, σ⁽ᴾ⁾ is used to adjust the learning rate dynamically.

Reference: N. Lepage-Saucier, Alternating cyclic extrapolation methods for optimization algorithms, arXiv:2104.04974 (2021). https://arxiv.org/abs/2104.04974