The Stackelberg prediction game(SPG)is a bilevel optimization frame-work for modeling strategic interactions between a learner and a follower.Existing meth-ods for solving this problem with general loss functions are ...The Stackelberg prediction game(SPG)is a bilevel optimization frame-work for modeling strategic interactions between a learner and a follower.Existing meth-ods for solving this problem with general loss functions are computationally expensive and scarce.We propose a novel hyper-gradient type method with a warm-start strategy to address this challenge.Particularly,we first use a Taylor expansion-based approach to obtain a good initial point.Then we apply a hyper-gradient descent method with an ex-plicit approximate hyper-gradient.We establish the convergence results of our algorithm theoretically.Furthermore,when the follower employs the least squares loss function,our method is shown to reach an e-stationary point by solving quadratic subproblems.Numerical experiments show our algorithms are empirically orders of magnitude faster than the state-of-the-art.展开更多
文摘The Stackelberg prediction game(SPG)is a bilevel optimization frame-work for modeling strategic interactions between a learner and a follower.Existing meth-ods for solving this problem with general loss functions are computationally expensive and scarce.We propose a novel hyper-gradient type method with a warm-start strategy to address this challenge.Particularly,we first use a Taylor expansion-based approach to obtain a good initial point.Then we apply a hyper-gradient descent method with an ex-plicit approximate hyper-gradient.We establish the convergence results of our algorithm theoretically.Furthermore,when the follower employs the least squares loss function,our method is shown to reach an e-stationary point by solving quadratic subproblems.Numerical experiments show our algorithms are empirically orders of magnitude faster than the state-of-the-art.
