Bolte, Jérôme, Pauwels, Edouard and Vaiter, Samuel (2022) Automatic differentiation of nonsmooth iterative algorithms. In: Advances in Neural Information Processing Systems 35: 36th Conference on Neural Information Processing Systems (NeurIPS 2022) Oh, A., Koyejo, S., Mohamed, S., Agarwal, A., Belgrave, D. and Cho, K. (eds.) NeurIPS/Curran Associates. Series “Advances in neural information processing systems, vol.35” New Orleans pp. 26404-26417. ISBN 9781713871088

Abstract

Differentiation along algorithms, i.e., piggyback propagation of derivatives, is now routinely used to differentiate iterative solvers in differentiable programming. Asymptotics is well understood for many smooth problems but the nondifferentiable case is hardly considered. Is there a limiting object for nonsmooth piggyback automatic differentiation (AD)? Does it have any variational meaning and can it be used effectively in machine learning? Is there a connection with classical derivative? All these questions are addressed under appropriate contractivity conditions in the framework of conservative derivatives which has proved useful in understanding nonsmooth AD. For nonsmooth piggyback iterations, we characterize the attractor set of nonsmooth piggyback iterations as a set-valued fixed point which remains in the conservative framework. This has various consequences and in particular almost everywhere convergence of classical derivatives. Our results are illustrated on parametric convex optimization problems with forward-backward, Douglas-Rachford and Alternating Direction of Multiplier algorithms as well as the Heavy-Ball method.