Learning-to-Optimize with PAC-Bayesian Guarantees: Theoretical
  Considerations and Practical Implementation
Michael Sucker Jalal Fadili Peter Ochs
We use the PAC-Bayesian theory for the setting of learning-to-optimize. To
the best of our knowledge, we present the first framework to learn optimization
algorithms with provable generalization guarantees (PAC-Bayesian bounds) and
explicit trade-off between convergence guarantees and convergence speed, which
contrasts with the typical worst-case analysis. Our learned optimization
algorithms provably outperform related ones derived from a (deterministic)
worst-case analysis. The results rely on PAC-Bayesian bounds for general,
possibly unbounded loss-functions based on exponential families. Then, we
reformulate the learning procedure into a one-dimensional minimization problem
and study the possibility to find a global minimum. Furthermore, we provide a
concrete algorithmic realization of the framework and new methodologies for
learning-to-optimize, and we conduct four practically relevant experiments to
support our theory. With this, we showcase that the provided learning framework
yields optimization algorithms that provably outperform the state-of-the-art by
orders of magnitude.