Adaptive backtracking line search

Authors: Joao V. Cavalcanti, Laurent Lessard, Ashia C. Wilson
Primary area: optimization
Keywords: Optimization, backtracking line search, Armijo condition, descent lemma, adaptive optimization methods

Abstract:
Backtracking line search is foundational in numerical optimization. 
The basic idea is to adjust the step size of an algorithm by a {\em constant} factor until some chosen criterion (e.g. Armijo, Descent Lemma) is satisfied. 
We propose a novel way to adjust step sizes, replacing the constant factor used in regular backtracking with one that takes into account the degree to which the chosen criterion is violated, with no additional computational burden. This light-weight adjustment leads to significantly faster optimization, which we confirm by performing a variety of experiments on over fifteen real world datasets.
For convex problems, we prove adaptive backtracking requires no more adjustments to produce a feasible step size than regular backtracking does.
For nonconvex smooth problems, we prove adaptive backtracking enjoys the same guarantees of regular backtracking. %same lower bounds that step sizes produced by regular backtracking do.
Furthermore, we prove adaptive backtracking preserves the convergence rates of gradient descent and its accelerated variant.

Decision: accept (poster)
Reviewer scores: 5, 6, 8, 6

Reviews and discussion:
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creation date:
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thread_type:
official_review

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creator: reviewer_vfwj

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summary:
The paper proposes an enhancement to backtracking line search by introducing an adaptive adjustment to step size rather than the traditional multiplicative retraction. The basic idea is to not just backtrack when the acceptance criterion is not met but rather to use the violation information to adjust the backtracking factor. The empirical results demonstrate significant improvements in several cases and the authors also provide some theoretical justification for the performance.

strengths:
The empirical results are strong which in my books is also the main merit of the paper. The theory while nice/ok is not particularly spectacular or unexpected but does provide a nice complement to the observed performance in practice. 

Still I like the paper quite a bit and set my initial score to accept based on the computational benefits of the proposed approach.

(while not strictly required to be read the appendix provides some additional computational results which are nice)

weaknesses:
The paper feels a little thin on the contribution mostly consisting of strong empirical results. the underlying idea of a dynamic adjustment is nice but not particularly surprising. I personally very much like the paper, however I could understand if other reviewers find its theoretical contributions too little.

questions:
no questions - see above
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creation date:
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creator: reviewer_qtpj

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summary:
This paper describes a backtracking strategy suitable to both convex/non-convex and smooth/non-smooth optimisation which relies on the definition of a violation factor adjusting the decrease of the step-size along the iteration. Such factor quantifies the amount at which standard backtracking conditions (e.g., Armijo) are *not* satisfied and is thus cleverly used to choose an optimal decreasing factor. In comparison to, e.g., standard Armijo condition, this avoids unnecessary overdecrease of the step (in case of small factors) and high computational costs (in case of big ones, which makes the decrease slower).
The paper is a pleasure to read: the motivation is clearly given, some examples are used to motivate the strategy used and, before providing the main theoretical results, some triggering empirical evidence is provided. The main sets of experiments reported in the body of the paper are convincing and show improvements with standard backtracking line search w.r.t. to a suitable gain measure related mostly to computational evaluation. Experiments are performed in both convex and non-convex settings as well as in a convex non-smooth scenario where comparisons with FISTA are made.
The presentation of the theoretical results is complete and the appendices are very well written and substantiated. 
I congratulate with the authors for such a nice piece of work which, in my opinion, opens the path to many questions and future research directions additionally to the ones highlighted in the final section of this work.

strengths:
The paper is very nicely written, the intuitition behind the proposed adaptive strategy is well described and the numerical tests are convincing. I liked the choice of the authors of presenting first the numerical results raather than the theoretical ones, since the reader is really triggered to keep reading and understanding more. The exhaustive list of experiments reported in the appendix is very convincing and shows that the proposed strategy performs indeed very well, as supported by the thoeretical results which I have checked and, up to some minor typos, appear correct to me.

weaknesses:
The only "weaknesses" I could highlight relate to some (minor) lack of referencing to existing work and/or to some refinement that could be made to guarantee that the proposed strategy maintains (as it seems) the convergence speed of stnadard algorithm also in more 'regular' scenario (e.g., strong convexity). Some minor imprecisions can be easily fixed as I will suggest below. 
Upon the modifications suggested (at all, or even partially), I think I would be happy to change my note to 10 as I think that this is a very good piece of work.

questions:
- I think that some further referencing should be added. In these works (DOI1: 10.1137/17M1149390, DOI2: 10.1137/21M1391699) adaptive backtracking strategies that could be generally employed for smooth/non-smooth and convex/strongly-convex optimisation schemes are considered. The main idea there is the possibility of the step-size to increase locally as long as the desired backtrcking conditions (there defined in terms of a Bregman distance of the smooth component) are used. Despite the adaptivity of the approach you propose, your backtracking strategy is still monotone (at least in the, indeed, monotone case). Is this really needed? Couldn't you allow also the local increase of the step-size, check if the condition is violated and, if not, allow it and, if yes, perform your strategy with suitable adjustments? I think that a comparison with these approaches should be added and such extension possibly considered.
The use of non-monotone approaches as the one mentioned above is interesting, for instance, where you have, for some reason, a very bad estimation of \alpha_0  (e.g., very small) which as far as I undertsand, not even with your approach you would be able to inrease along iterations.
- Another approach that is worth mentioning is the one studied here (Malitsky, Mishchenko Adaptive Gradient Descent without Descent
 PMLR 119:6702-6712, 2020) which is computationally very effective and relies on different backtracking rules adaptive to local geometry.
- Your theoretical results aim at quantifying, essentially, the amount of backtracking iterations in comparison with the standard approaches, but can you indeed guarantee that usual convergence rates are obtained whenever the strategy is employed as an 'inner loop' of any underlying algorithm?
- In some sections I found a bit of overlooking on the regularity properties of the problems considered and/or of the schemes employed. This in particular when you considered strongly convex optimistation schemes. In the non-smooth examples you considered AGD schemes adapted to strong convexity (e.g., relying on the knowledge/estimation of strong-convexity parameters) as in the case of Algorithm 4 (where I whink that m is indeed the strong convexity parameter although never mentioned) or not (FISTA). For strongly convex algorithms linear convergence is normally achieved, contrarily to convex ones where only O(1/k^2) speed is obtained. Some more precision on the reasons why you consider one or the other and on how potentially your idea adapts to situations where the strongly convex parameter is unknown (and estimated via restarting strategies, see, e.g., DOI3: 10.1137/23M158961X) should be added. This is interesting, for instance, when one wants to control oscillations due to inertia in accelerated schemes. Interestingly, you don't seem to have that many oscillations. Do you have any guess on why this happens? It is surely related to the adaptation to the local geometry of the function.
- It's a bit surprising that for standard BLS, in the results in Figure 1 and t2, with the same \rho, the convergence curve obtained with a higher value of \beta (higher initial step-size), pink curves, lies *above* and not below the one with smaller step size. Is this due to the 'bad' adjustment of the step-size in the standard backtracking inner routine?
I think it would be very interesting comparing the evolution of the step-size estimation along the iterations, in comparison with the (over)estimation of 2/L (convex) or 1/L (non-convex) used as a fixed reference.




Minor points:
- I would change notation in (5) on page 3, lines 151 and subsequent since, as you said, (5) has to hold for F (capital) while it looks it has to hold only for the smooth part. 
- Page 4, line (191) is somehow bizarre (the regularisation parameter can be anyhing), is there any reason why you relate this to \bar{L}?
- What is the stopping criterion for achieveing "designated precision" used in the experiments in section 3?
- What is the interest of using accelerated schemes in the non-convex objective example? It's not clear that they improve at all the speed of convergence right?
- In Figure 3 and the corresponding table you use the value of the non-convex loss functions as a measure of how good one approach is w.r.t. others. This may suggest that convergence to different local minimisers is achieved, althoutgh from the examples it seems that the trajectory is pointing towards the same local minimiser. So why is the loss smaller? Did you stop iterations after a max number of iterations and notice that in one case you got a lower value (closer to the one of the minimiser you are converging to)?
- The two 1d illustrations in Figure 4 are enlightening but not clear at all without looking at the appendix. I would provide some more details in the main body of the paper
- In the Informal Theorem on page 9 (line 477) what is the function "g"?
- I would be careful with the use of the word "restarting" as in the standard optimisation community this is a strategy more concerned with the estimation  of the strongly convex parameter (see for instance DOI4: 10.1007/s10208-013-9150-3) than the step-size. Also, the use of the restarting strategy you propose sounds unnecessarily expensive. Why keep starting with the initial step-size especially when this is too big when one can use the last estimated one? You say that they seem to work much better but I imagine they require more inner checks?
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summary:
This paper proposes an "adaptive" version of backtracking line search (BLS) for descent steps in optimization. Namely, while in classical BLS the candidate step-size shrinks by a fixed factor of $\rho$, this paper proposes an adaptive choice of $\rho$ at each iteration which depends on how much the line-search condition is violated. The paper demonstrates in a series of experiments that this adaptive version of BLS seems to be more robust to starting point and usually leads to significant savings in compute-time if compared to classical BLS with a fixed rate. Moreover, they show theoretical results demonstrating that, in convex and/or Lipschitz smooth problems, Adaptive BLS is *effectively* no worse than BLS and the worst-case step-size guarantee are similar.

strengths:
- Usually papers on backtracking line-search tend to focus on effects of non-monotonic searches or on changing the condition of the line-search. This paper proposes a seemingly simple modification to the choice of the backtracking factor that preserves most of the theoretical guarantees. This seems like one of those simple observations that is of interest to the optimization community in general. In fact, I think the contribution is good exactly because of the simplicity: there seems to be a easy modification to BLS that most likely improves it;
- The presentation is relatively clear and easy to understand;
- The variety of experiments gives confidence about the empirical performance of the method if compared to BLS with a fixed parameter;

weaknesses:
I believe the main area of improvement of this paper is its discussion previous work, which is even more important in a paper about such a classical topic.  I will detail two aspects of the paper that I believe could be improved.

- **Discussion of related research work**: Backtracking line-search is a classical topic with a vast amount of work on it (even if most of it is not necessarily on the backtracking factor). Yet, besides references to classical books and the original works on BLS, there is almost no discussion of previous work. Although I am not familiar with the most recent work on line-search, while reviewing this paper I found at least two papers [1,2] that should at least have been cited, and probably this line of research discussed in more depth. 

- **Lack of comparison with line-search variants**: The paper focuses on backtracking line-search with a fixed backtracking parameter $\rho$ as the main method they are comparing against. However, there are classical variants of this idea that are more often used in practice, and the main one that comes to mind is polynomial interpolation, and there are likely other heuristics the authors could have at least discussed.  Moreover, a quote from the classical textbook [3, Sec. 3.1] mentions that BLS with a varying backtracking parameter is more often used in practice:

> In practice, the contraction factor $\rho$ is often allowed to vary at each iteration of the line search. For example, it can be chosen by safeguarded interpolation, as we describe later. We need ensure only that at each iteration we have $\rho\in [\rho_{\mathrm{lo}},\rho_{\mathrm{hi}}]$, for some fixed constants $0 < \rho_{\mathrm{lo}} < \rho_{\mathrm{hi}} < 1$.

---
**Summary of review**: I believe the contribution of this paper is simple (in a good way) and relevant to the optimization community. However, the lack of discussion of recent related work and the sole focus on comparing against BLS with a fixed backtracking parameter does not seem to properly situate the contribution in the literature and to paint a fair picture of its impact in line-search methods in general, which is why I'm currently inclined to recommend a rejection of the paper. 

I hope to discuss with the authors about what related work they believe is relevant to be discussed and which other methods would be valid comparison points. Finally, I just want to make it clear that I do not believe that the adaptive BLS that this paper proposes needs to outperform all other variants of BLS to be a good contribution, or that the authors need to perform experiments against all other variants. However, there definitely should be a more in-depth discussion of related work and comparison with BLS vairants and heuristics.


--- 


** References **

[1] de Oliveira, Ivo Fagundes David, and Ricardo Hiroshi Caldeira Takahashi. "Efficient solvers for Armijo's backtracking problem." arXiv preprint arXiv:2110.14072 (2021).

[2] Fridovich-Keil, Sara, and Benjamin Recht. "Approximately exact line search." arXiv:2011.04721 (2020). (This one seems to be a full version of a workshop paper: https://opt-ml.org/papers/2019/paper_17.pdf)

[3] Nocedal, Jorge, and Stephen J. Wright. "Numerical optimization", Second Edition (1999)

questions:
- Do you think it would be interesting to compare adaptive BLS with LS with polynomial interpolation (mainly quadratic or cubic)? It seems to me it would be a more interesting comparison than simply comparing with fixed-parameter BLS, but the authors could disagree with me. Also, I believe there is likely other methods or heuristics used in the literature that should be at least acknowledge an briefly discussed in the paper;

- Are there other relevant research work on BLS that the authors are aware? The two papers I referenced I found on a brief web search, thus I only found somewhat recent work that hasn't been necessarily published yet (although one of them appeared in 2019 as a workshop paper), and I am quite certain that the authors are more better acquainted with the literature in the area than myself;
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creation date:
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creator: reviewer_rap1

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summary:
This paper studies the backtracking line search commonly used for step size selection in optimization algorithms. The main focus is to propose an adaptive approach for setting the decay parameter when searching for the step size. The authors consider several examples (e.g., Armijo, descent lemma) to illustrate the concept, which is straightforward and presented in Algorithm 2. They also conduct extensive numerical simulations to demonstrate the effectiveness of the adaptive approach.

strengths:
Backtracking line search is a fundamental task in general optimization algorithms. The numerical simulations show promising potential for the adaptive method.

weaknesses:
As my work primarily focuses on the theoretical aspects of optimization, my comments and concerns mainly relate to the theoretical analysis of the proposed adaptive approach. Broadly speaking, the theorems presented in Section 4 provide limited insight into the advantages of the new approach compared to the conventional backtracking line search in Algorithm 1. I will elaborate on this and discuss other concerns below.

* My main technical concern is with the lower bound of the adaptive factor, which will affect the overall complexity of the algorithm, not just the number of function evaluations in a single iteration step. As mentioned by the authors in Line 395, the search procedure should ensure a sufficiently large step size to achieve fast convergence. Following this, the authors argue that their construction guarantees that the adaptive factor is bounded away from zero. However, this is not sufficient to ensure convergence of the (outer-loop) algorithm iteration sequence, as the step size can be arbitrarily small compared to the step size selected by "regular" line search (for example, in the descent lemma setting, the regular search will produce a step size lower bounded multiplicatively by the factor $\rho$). Indeed, using some standard theorems for smooth optimization, the adaptive factor appears in the final complexity guarantee and may not be easily controlled. Therefore, an important task here is to investigate the overall evaluation complexity when the proposed adaptive line search is used.

* As for the theorems presented in Section 4, specifically Propositions 1, 2, and the two informal theorems, it seems that these results do not demonstrate the advantage of using an adaptive approach compared to the regular search method. These results essentially state that, under certain assumptions, the adaptive approach is not worse than the regular method in terms of the number of function evaluations in a single step. Also, as mentioned above, it is unclear how this affects the total number of iterations in the outer loop.

* The first question that likely arises after seeing Algorithm 2 is how to design the adaptive factor $\hat{\rho}$. The authors demonstrate some possible constructions in Section 2, but these are mostly reformulations of known methods. Thus, is there a principled way to construct this adaptive factor, even for specific settings?

questions:
See above.
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title:
Global response

comment:
We thank the reviewers for the many helpful comments and suggestions. 
In the following, we respond to every single point raised by the reviewers as best as we can, but we are happy to consider any further suggestions that the reviewers might have.
Before addressing each review individually, we would like to comment on the two most common concerns raised by the reviewers.

* **The simplicity of the method (and accompanying perceived lack of theory.)**
While the majority of the reviewers seem to appreciate that the simplicity of our adaptive approach to backtracking is a virtue, there seems to be a sense that the paper could have used more theory. 
We would like to emphasize that the theory provided in the submitted version of the paper contained the strongest essential results that one could expect of a line search procedure under such mild assumptions, without either strengthening the assumptions or specifying the base algorithm that calls the backtracking subroutine. 
In particular, the theoretical guarantees for adaptive backtracking are at least as good as those of regular backtracking, including step size lower bounds. 
Furthermore, we argue that if the submitted version of our paper could be reproached for allegedly lacking theory, then so could the highly influential paper that introduced the Armijo condition, which is less than three pages long.
Notwithstanding, we have now included several convergence results, for specific base algorithms and in general, illustrating that adaptive backtracking preserves the convergence rates of the base methods. In addition, the proof we provide for AGD is novel, as far as we know (see Appendix B.4). Some simplified instances of these results are:
**Gradient descent**
If $f$ is $L$-smooth, $\alpha_{0}>1/L$ and $c= 10^{-4}$ for GD, then adaptive line search satisfies:
$$
f(x_{k}) - f(x^{\ast})
\leq \frac{L}{\rho}\frac{\Vert x_{0} - x^{\ast} \Vert^{2}}{k}.
$$
**Accelerated gradient descent**
If $f$ is $L$-smooth and $m$-strongly convex, $\alpha_{0} < 1/m$ and $c=1/2$, then adaptive line search satisfies:
$$
f(y_{k+1}) - f(x^{\ast})
\leq \Biggl( \frac{\sqrt{Q} - \sqrt{\rho}}{\sqrt{Q}} \Biggr)^{k}\frac{Q^{2}}{\rho^{2}}\frac{L+m}{2}\Vert x_{0} - x^{\ast} \Vert^{2},
$$
where $Q=L/m$ denotes the condition number of the problem.

* "**The contextualization of our work (e.g. connection to other line search methods)**" We appreciate the relevant references that two reviewers have mentioned.
These references are now cited in section 2.3 of related work, which we have added to the main paper to reflect the discussions we have had with the reviewers.
On the other hand, we believe that our comprehensive suite of experiments does not lack comparisons with further methods, for several reasons.
Some of the line search methods proposed by those references do not actually enforce the same line search criteria as that of our adaptive subroutines, which leads entirely different algorithms.
Our goal was to showcase the benefits of adaptive backtracking over regular backtracking as the line search procedure to enforce specific line search criteria, instead of championing a particular line search criterion, given regular backtracking is still the most commonly used line search routine, in part due to its simplicity. 
In addition, there was no publicly available code for one reference mentioned, which also only included comparisons with regular backtracking.
Similarly, all references mentioned only included comparisons with regular backtracking.
Furthermore, we see other references as candidates for incorporating adaptive backtracking, which we are excited to investigate in future work.
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Metareview:
metareview:
The paper proposes a novel variant of the backtracking line search approach for setting the step size for unconstrained optimization problems. The standard backtracking line search decreases the step size by a fixed constant factor until some criterion such as the Armijo criterion is satisfied. The current paper proposes a modification of this approach that replaces the fixed constant factor by a factor that takes into account how violated the chosen criterion is. This approach is demonstrated for two criteria, the Armijo criterion and the descent lemma for proximal problems. The paper demonstrates the practical benefits of the proposed modification on several datasets. The paper also provides a theoretical analysis for convex optimization problems showing a comparable guarantee to the standard backtracking line search.

The problem addressed in this work is a well motivated one with the potential to significantly impact practical applications.  The reviewers appreciated the simplicity of the proposed method and its performance in the experimental evaluation. The reviewers noted that the empirical results are strong and they are the main strength of the work. On the theoretical front, there were several weaknesses that were noted by the reviewers. The theoretical analysis only establishes that the proposed method is no worse than the standard backtracking line search, and the paper does not provide a theoretical result showing a strict improvement in the worst case over the standard method (under some structural assumptions). Additionally, the method is demonstrated and analyzed in two main settings and on a case by case basis, and it seems unclear how to set the adaptive scaling and theoretically show that the step size remains sufficiently large beyond these two settings. Thus several of the reviewers were concerned that the method is primarily a heuristic improvement for the two specific settings considered and the overall contribution may be somewhat limited. The authors revised the paper to provide additional theoretical grounding for the proposed methods. The author response also indicated that the approach could be used in principle in broader settings. Given the potential for a high practical impact, I support accepting this paper if there is room.