Numerous optimization algorithms have a time-varying update rule thanks to, for instance, a changing step size, momentum parameter or, Hessian approximation. Often, such algorithms are used as solvers for the lower-level problem in bilevel optimization, and are unrolled when computing the gradient of the upper-level objective. In this paper, we apply unrolled or automatic differentiation to a time-varying iterative process and provide convergence (rate) guarantees for the resulting derivative iterates. We then adapt these convergence results and apply them to proximal gradient descent with variable step size and FISTA when solving partly-smooth problems. We test the convergence (rates) of these algorithms numerically through several experiments. Our theoretical and numerical results show that the convergence rate of the algorithm is reflected in its derivative iterates.

We consider the differentiation of the value function for parametric optimization problems. Such problems are ubiquitous in machine learning applications such as structured support vector machines, matrix factorization and min-min or minimax problems in general. Existing approaches for computing the derivative rely on strong assumptions of the parametric function. Therefore, in several scenarios there is no theoretical evidence that a given algorithmic differentiation strategy computes the true gradient information of the value function. We leverage a well known result from convex duality theory to relax the conditions and to derive convergence rates of the derivative approximation for several classes of parametric optimization problems in Machine Learning. We demonstrate the versatility of our approach in several experiments, including non-smooth parametric functions. Even in settings where other approaches are applicable, our duality based strategy shows a favorable performance.

We aim at computing the derivative of the solution to a parametric optimization problem with respect to the involved parameters. For a class broader than that of strongly convex functions, this can be achieved by automatic differentiation of iterative minimization algorithms. If the iterative algorithm converges pointwise, then we prove that the derivative sequence also converges pointwise to the derivative of the minimizer with respect to the parameters. Moreover, we provide convergence rates for both sequences. In particular, we prove that the accelerated convergence rate of the Heavy-ball method compared to Gradient Descent also accelerates the derivative computation. An experiment with L2-Regularized Logistic Regression validates the theoretical results.