Catalyst Acceleration for Gradient-Based Non-Convex Optimization

03/31/2017
by   Courtney Paquette, et al.
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We introduce a generic scheme to solve nonconvex optimization problems using gradient-based algorithms originally designed for minimizing convex functions. When the objective is convex, the proposed approach enjoys the same properties as the Catalyst approach of Lin et al. [22]. When the objective is nonconvex, it achieves the best known convergence rate to stationary points for first-order methods. Specifically, the proposed algorithm does not require knowledge about the convexity of the objective; yet, it obtains an overall worst-case efficiency of Õ(ε^-2) and, if the function is convex, the complexity reduces to the near-optimal rate Õ(ε^-2/3). We conclude the paper by showing promising experimental results obtained by applying the proposed approach to SVRG and SAGA for sparse matrix factorization and for learning neural networks.

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