【源码】刚性系统的一阶梯度下降算法

Whiplash Gradient Descent: A Closed Loop Gradient Descent Algorithm applied to Rosenbrock’s function. Please find the paper here: https://arxiv.org/abs/2108.12883.

我们介绍了一种新的惯性梯度系统自适应阻尼技术，该技术作为无约束优化的梯度下降算法得到了应用。在一个使用非凸Rosenbrock函数的例子中，我们展示了对现有基于动量的梯度优化方法的改进。同时利用Lyapunov稳定性分析，我们证明了算法的连续时间版本的性能。利用数值模拟，我们考虑离散时间对应的性能，通过使用Euler离散化方法得到。

We introduce a novel adaptive damping technique for an inertial gradient system which finds application as a gradient descent algorithm for unconstrained optimisation. In an example using the non-convex Rosenbrock’s function, we show an improvement on existing momentum-based gradient optimisation methods. Also using Lyapunov stability analysis, we demonstrate the performance of the continuous-time version of the algorithm. Using numerical simulations, we consider the performance of its discrete-time counterpart obtained by using the symplectic Euler method of discretisation.

This file contains a live MATLAB example and a Simulink simulation by Mr. Subhransu Sekhar Bhattacharjee, U7143478, ANU, developed under the supervision of Prof. Dr. Ian R. Petersen FAA, College of Engineering and Computer Science, ANU. Please direct any queries regarding the code to Mr. Subhransu Bhattacharjee at u7143478@anu.edu.au. Please use MATLAB version 2021a for running the .mlx file.

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