← 研踪 PaperTrailarXiv:2606.13825 · v2
Scalable Deep Unfolding of Conic Optimizers
首次提交 2026-06-12 02:58
版本更新 2026-11-07 23:45
雷达观测 2026-11-10 11:14
摘要
Deep unfolding (DU) accelerates iterative optimizers by training learnable components through unrolled iterations, but extending DU to the large-scale semidefinite programs (SDPs) common in robotics has remained limited. Unrolling a full-update conic solver such as COSMO exposes two obstacles: backpropagating through the per-iteration linear-system solve incurs memory quadratic in the problem size when the coefficient matrix is formed explicitly, and backpropagating through the positive semidefinite (PSD) cone projection is numerically unstable under repeated eigenvalues. We address the first with a matrix-free implicit differentiation rule that reduces memory from $O(n^2)$ to $O(n + \mathrm{nnz}(A))$, and the second with a stable backward rule based on the Dalečkii--Krein representation of the Fréchet derivative. Together, these enable learning lightweight hyperparameter policies and warm starts for COSMO. On standalone SDPs and second-order cone programs, ranging from max-cut and Lovász $\vartheta$ to robust estimation and control, the learned policies outperform tuned COSMO on every problem class, reducing iterations to tolerance by up to 60$\times$, and transfer without retraining to instances up to 10$\times$ larger in the size parameter while retaining 2--5$\times$ speedups. Our matrix-free solver implementation also batches naturally on the GPU, solving 64 Lovász $\vartheta$ SDPs 14$\times$ faster than sequential COSMO.jl. When embedded in sequential convex programming for nonlinear covariance steering, our learned optimizers outperform the interior-point solver Clarabel in terms of both success rate and solve time.
作者备注：Presented at CoRL 2026
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v2 · 2026-11-07 23:45 · 最新观测版本
Scalable Deep Unfolding of Conic Optimizers
Deep unfolding (DU) accelerates iterative optimizers by training learnable components through unrolled iterations, but extending DU to the large-scale semidefinite programs (SDPs) common in robotics has remained limited. Unrolling a full-update conic solver such as COSMO exposes two obstacles: backpropagating through the per-iteration linear-system solve incurs memory quadratic in the problem size when the coefficient matrix is formed explicitly, and backpropagating through the positive semidefinite (PSD) cone projection is numerically unstable under repeated eigenvalues. We address the first with a matrix-free implicit differentiation rule that reduces memory from $O(n^2)$ to $O(n + \mathrm{nnz}(A))$, and the second with a stable backward rule based on the Dalečkii--Krein representation of the Fréchet derivative. Together, these enable learning lightweight hyperparameter policies and warm starts for COSMO. On standalone SDPs and second-order cone programs, ranging from max-cut and Lovász $\vartheta$ to robust estimation and control, the learned policies outperform tuned COSMO on every problem class, reducing iterations to tolerance by up to 60$\times$, and transfer without retraining to instances up to 10$\times$ larger in the size parameter while retaining 2--5$\times$ speedups. Our matrix-free solver implementation also batches naturally on the GPU, solving 64 Lovász $\vartheta$ SDPs 14$\times$ faster than sequential COSMO.jl. When embedded in sequential convex programming for nonlinear covariance steering, our learned optimizers outperform the interior-point solver Clarabel in terms of both success rate and solve time.
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