skip to main content


Title: Stochastic Variance-Reduced Cubic Regularized Newton Method
We propose a stochastic variance-reduced cubic regularized Newton method (SVRC) for non-convex optimization. At the core of our algorithm is a novel semi-stochastic gradient along with a semi-stochastic Hessian, which are specifically designed for cubic regularization method. We show that our algorithm is guaranteed to converge to an $(\epsilon,\sqrt{\epsilon})$-approximate local minimum within $\tilde{O}(n^{4/5}/\epsilon^{3/2})$ second-order oracle calls, which outperforms the state-of-the-art cubic regularization algorithms including subsampled cubic regularization. Our work also sheds light on the application of variance reduction technique to high-order non-convex optimization methods. Thorough experiments on various non-convex optimization problems support our theory.  more » « less
Award ID(s):
1652539 1618948
NSF-PAR ID:
10063548
Author(s) / Creator(s):
; ;
Date Published:
Journal Name:
International Conference on Machine Learning
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
More Like this
  1. In order to meet the requirements for safety and latency in many IoT applications, intelligent decisions must be made right here right now at the network edge, calling for edge intelligence. To facilitate fast edge learning, this work advocates a platform-aided federated meta-learning architecture, where a set of edge nodes joint force to learn a meta-model (i.e., model initialization for adaptation in a new learning task) by exploiting the similarity among edge nodes as well as the cloud knowledge transfer. The federated meta-learning problem is cast as a regularized stochastic optimization problem, using Bregman Divergence between the edge model and the cloud pre-trained model as the regularization. We then devise an alternating direction method of multiplier (ADMM) based Hessian-free federated meta-learning algorithm, called ADMM-FedMeta, with inexact Hessian estimation. Further, we analyze the convergence properties and the rapid adaptation performance of ADMM-FedMeta for the general non-convex case. The theoretical results show that under mild conditions, ADMM-FedMeta converges to an $\epsilon$-approximate first-order stationary point after at most $\mathcal{O}(1/\epsilon^2)$ communication rounds. Extensive experimental studies on benchmark datasets demonstrate the effectiveness and efficiency of ADMM-FedMeta, and showcase that ADMM-FedMeta outperforms the existing baselines. 
    more » « less
  2. Integrating regularization methods with standard loss functions such as the least squares, hinge loss, etc., within a regression framework has become a popular choice for researchers to learn predictive models with lower variance and better generalization ability. Regularizers also aid in building interpretable models with high-dimensional data which makes them very appealing. It is observed that each regularizer is uniquely formulated in order to capture data-specific properties such as correlation, structured sparsity and temporal smoothness. The problem of obtaining a consensus among such diverse regularizers while learning a predictive model is extremely important in order to determine the optimal regularizer for the problem. The advantage of such an approach is that it preserves the simplicity of the final model learned by selecting a single candidate model which is not the case with ensemble methods as they use multiple candidate models for prediction. This is called the consensus regularization problem which has not received much attention in the literature due to the inherent difficulty associated with learning and selecting a model from an integrated regularization framework. To solve this problem, in this paper, we propose a method to generate a committee of non-convex regularized linear regression models, and use a consensus criterion to determine the optimal model for prediction. Each corresponding non-convex optimization problem in the committee is solved efficiently using the cyclic-coordinate descent algorithm with the generalized thresholding operator. Our Consensus RegularIzation Selection based Prediction (CRISP) model is evaluated on electronic health records (EHRs) obtained from a large hospital for the congestive heart failure readmission prediction problem. We also evaluate our model on high-dimensional synthetic datasets to assess its performance. The results indicate that CRISP outperforms several state-of-the-art methods such as additive, interactions-based and other competing non-convex regularized linear regression methods. 
    more » « less
  3. Optimization problems with group sparse regularization are ubiquitous in various popular downstream applications, such as feature selection and compression for Deep Neural Networks (DNNs). Nonetheless, the existing methods in the literature do not perform particularly well when such regularization is used in combination with a stochastic loss function. In particular, it is challenging to design a computationally efficient algorithm with a convergence guarantee and can compute group-sparse solutions. Recently, a half-space stochastic projected gradient ({\tt HSPG}) method was proposed that partly addressed these challenges. This paper presents a substantially enhanced version of {\tt HSPG} that we call~{\tt AdaHSPG+} that makes two noticeable advances. First, {\tt AdaHSPG+} is shown to have a stronger convergence result under significantly looser assumptions than those required by {\tt HSPG}. This improvement in convergence is achieved by integrating variance reduction techniques with a new adaptive strategy for iteratively predicting the support of a solution. Second, {\tt AdaHSPG+} requires significantly less parameter tuning compared to {\tt HSPG}, thus making it more practical and user-friendly. This advance is achieved by designing automatic and adaptive strategies for choosing the type of step employed at each iteration and for updating key hyperparameters. The numerical effectiveness of our proposed {\tt AdaHSPG+} algorithm is demonstrated on both convex and non-convex benchmark problems. The source code is available at \url{https://github.com/tianyic/adahspg}. 
    more » « less
  4. In this paper, we show that under over-parametrization several standard stochastic optimization algorithms escape saddle-points and converge to local-minimizers much faster. One of the fundamental aspects of over-parametrized models is that they are capable of interpolating the training data. We show that, under interpolation-like assumptions satisfied by the stochastic gradients in an overparametrization setting, the first-order oracle complexity of Perturbed Stochastic Gradient Descent (PSGD) algorithm to reach an \epsilon-local-minimizer, matches the corresponding deterministic rate of ˜O(1/\epsilon^2). We next analyze Stochastic Cubic-Regularized Newton (SCRN) algorithm under interpolation-like conditions, and show that the oracle complexity to reach an \epsilon-local-minimizer under interpolation-like conditions, is ˜O(1/\epsilon^2.5). While this obtained complexity is better than the corresponding complexity of either PSGD, or SCRN without interpolation-like assumptions, it does not match the rate of ˜O(1/\epsilon^1.5) corresponding to deterministic Cubic-Regularized Newton method. It seems further Hessian-based interpolation-like assumptions are necessary to bridge this gap. We also discuss the corresponding improved complexities in the zeroth-order settings. 
    more » « less
  5. We propose a fast stochastic Hamilton Monte Carlo (HMC) method, for sampling from a smooth and strongly log-concave distribution. At the core of our proposed method is a variance reduction technique inspired by the recent advance in stochastic optimization. We show that, to achieve $\epsilon$ accuracy in 2-Wasserstein distance, our algorithm achieves $\tilde O\big(n+\kappa^{2}d^{1/2}/\epsilon+\kappa^{4/3}d^{1/3}n^{2/3}/\epsilon^{2/3}%\wedge\frac{\kappa^2L^{-2}d\sigma^2}{\epsilon^2} \big)$ gradient complexity (i.e., number of component gradient evaluations), which outperforms the state-of-the-art HMC and stochastic gradient HMC methods in a wide regime. We also extend our algorithm for sampling from smooth and general log-concave distributions, and prove the corresponding gradient complexity as well. Experiments on both synthetic and real data demonstrate the superior performance of our algorithm. 
    more » « less