DeepAI
Log In Sign Up

Stochastic Optimization for Non-convex Inf-Projection Problems

08/26/2019
by   Yan Yan, et al.
0

In this paper, we study a family of non-convex and possibly non-smooth inf-projection minimization problems, where the target objective function is equal to minimization of a joint function over another variable. This problem includes difference of convex (DC) functions and a family of bi-convex functions as special cases. We develop stochastic algorithms and establish their first-order convergence for finding a (nearly) stationary solution of the target non-convex function under different conditions of the component functions. To the best of our knowledge, this is the first work that comprehensively studies stochastic optimization of non-convex inf-projection minimization problems with provable convergence guarantee. Our algorithms enable efficient stochastic optimization of a family of non-decomposable DC functions and a family of bi-convex functions. To demonstrate the power of the proposed algorithms we consider an important application in variance-based regularization, and experiments verify the effectiveness of our inf-projection based formulation and the proposed stochastic algorithm in comparison with previous stochastic algorithms based on the min-max formulation for achieving the same effect.

READ FULL TEXT

page 1

page 2

page 3

page 4

11/28/2018

Stochastic Optimization for DC Functions and Non-smooth Non-convex Regularizers with Non-asymptotic Convergence

Difference of convex (DC) functions cover a broad family of non-convex a...
06/08/2020

A Stochastic Subgradient Method for Distributionally Robust Non-Convex Learning

We consider a distributionally robust formulation of stochastic optimiza...
10/13/2020

Regret minimization in stochastic non-convex learning via a proximal-gradient approach

Motivated by applications in machine learning and operations research, w...
11/10/2019

Stochastic DCA for minimizing a large sum of DC functions with application to Multi-class Logistic Regression

We consider the large sum of DC (Difference of Convex) functions minimiz...
06/09/2012

A Nonparametric Conjugate Prior Distribution for the Maximizing Argument of a Noisy Function

We propose a novel Bayesian approach to solve stochastic optimization pr...
10/22/2021

Projection-Free Algorithm for Stochastic Bi-level Optimization

This work presents the first projection-free algorithm to solve stochast...
03/20/2019

The importance of better models in stochastic optimization

Standard stochastic optimization methods are brittle, sensitive to steps...