Higher-order methods for large-scale optimization

Abstract

There has been an increased interest in optimization for the analysis of large-scale data sets which require gigabytes or terabytes of data to be stored. A variety of applications originate from the fields of signal processing, machine learning and statistics. Seven representative applications are described below. - Magnetic Resonance Imaging (MRI): A medical imaging tool used to scan the anatomy and the physiology of a body. - Image inpainting: A technique for reconstructing degraded parts of an image. - Image deblurring: Image processing tool for removing the blurriness of a photo caused by natural phenomena, such as motion. - Radar pulse reconstruction. - Genome-Wide Association study (GWA): DNA comparison between two groups of people (with/without a disease) in order to investigate factors that a disease depends on. - Recommendation systems: Classification of data (i.e., music or video) based on user preferences. - Data fitting: Sampled data are used to simulate the behaviour of observed quantities. For example estimation of global temperature based on historic data. Large-scale problems impose restrictions on methods that have been so far employed. The new methods have to be memory efficient and ideally, within seconds they should offer noticeable progress towards a solution. First-order methods meet some of these requirements. They avoid matrix factorizations, they have low memory requirements, additionally, they sometimes offer fast progress in the initial stages of optimization. Unfortunately, as demonstrated by numerical experiments in this thesis, first-order methods miss essential information about the conditioning of the problems, which might result in slow practical convergence. The main advantage of first-order methods which is to rely only on simple gradient or coordinate updates becomes their essential weakness. We do not think this inherent weakness of first-order methods can be remedied. For this reason, the present thesis aims at the development and implementation of inexpensive higher-order methods for large-scale problems.