Finding an approximate second-order stationary point (SOSP) is a well-studied and fundamental problem in stochastic nonconvex optimization with many applications in machine learning. However, this problem is poorly understood in the presence of outliers, limiting the use of existing nonconvex algorithms in adversarial settings.
In this paper, we study the problem of finding SOSPs in the strong contamination model, where a constant fraction of datapoints are arbitrarily corrupted. We introduce a general framework for efficiently finding an approximate SOSP with dimension-independent accuracy guarantees, using $\widetilde{O}({D^2}/{\epsilon})$ samples where $D$ is the ambient dimension and $\epsilon$ is the fraction of corrupted datapoints.
As a concrete application of our framework, we apply it to the problem of low rank matrix sensing, developing efficient and provably robust algorithms that can tolerate corruptions in both the sensing matrices and the measurements. In addition, we establish a Statistical Query lower bound providing evidence that the quadratic dependence on $D$ in the sample complexity is necessary for computationally efficient algorithms.
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Composite optimization for robust rank one bilinear sensing
Abstract We consider the task of recovering a pair of vectors from a set of rank one bilinear measurements, possibly corrupted by noise. Most notably, the problem of robust blind deconvolution can be modeled in this way. We consider a natural nonsmooth formulation of the rank one bilinear sensing problem and show that its moduli of weak convexity, sharpness and Lipschitz continuity are all dimension independent, under favorable statistical assumptions. This phenomenon persists even when up to half of the measurements are corrupted by noise. Consequently, standard algorithms, such as the subgradient and prox-linear methods, converge at a rapid dimension-independent rate when initialized within a constant relative error of the solution. We complete the paper with a new initialization strategy, complementing the local search algorithms. The initialization procedure is both provably efficient and robust to outlying measurements. Numerical experiments, on both simulated and real data, illustrate the developed theory and methods.
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- NSF-PAR ID:
- 10233390
- Date Published:
- Journal Name:
- Information and Inference: A Journal of the IMA
- ISSN:
- 2049-8772
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Journal Article:
- https://doi.org/10.1093/imaiai/iaaa027
