Bounded perturbation resilience of projected scaled gradient methods

We investigate projected scaled gradient (PSG) methods for convex minimization problems. These methods perform a descent step along a diagonally scaled gradient direction followed by a feasibility regaining step via orthogonal projection onto the constraint set. This constitutes a generalized algorithmic structure that encompasses as special cases the gradient projection method, the projected Newton method, the projected Landweber-type methods and the generalized Expectation-Maximization (EM)-type methods. We prove the convergence of the PSG methods in the presence of bounded perturbations. This resilience to bounded perturbations is relevant to the ability to apply the recently developed superiorization methodology to PSG methods, in particular to the EM algorithm.Comment: Computational Optimization and Applications, accepted for publicatio

Stochastic Frank-Wolfe for Composite Convex Minimization

A broad class of convex optimization problems can be formulated as a semidefinite program (SDP), minimization of a convex function over the positive-semidefinite cone subject to some affine constraints. The majority of classical SDP solvers are designed for the deterministic setting where problem data is readily available. In this setting, generalized conditional gradient methods (aka Frank-Wolfe-type methods) provide scalable solutions by leveraging the so-called linear minimization oracle instead of the projection onto the semidefinite cone. Most problems in machine learning and modern engineering applications, however, contain some degree of stochasticity. In this work, we propose the first conditional-gradient-type method for solving stochastic optimization problems under affine constraints. Our method guarantees $\mathcal{O}(k^{-1/3})$ convergence rate in expectation on the objective residual and $\mathcal{O}(k^{-5/12})$ on the feasibility gap

The Convergence Guarantees of a Non-convex Approach for Sparse Recovery

In the area of sparse recovery, numerous researches hint that non-convex penalties might induce better sparsity than convex ones, but up until now those corresponding non-convex algorithms lack convergence guarantees from the initial solution to the global optimum. This paper aims to provide performance guarantees of a non-convex approach for sparse recovery. Specifically, the concept of weak convexity is incorporated into a class of sparsity-inducing penalties to characterize the non-convexity. Borrowing the idea of the projected subgradient method, an algorithm is proposed to solve the non-convex optimization problem. In addition, a uniform approximate projection is adopted in the projection step to make this algorithm computationally tractable for large scale problems. The convergence analysis is provided in the noisy scenario. It is shown that if the non-convexity of the penalty is below a threshold (which is in inverse proportion to the distance between the initial solution and the sparse signal), the recovered solution has recovery error linear in both the step size and the noise term. Numerical simulations are implemented to test the performance of the proposed approach and verify the theoretical analysis.Comment: 33 pages, 7 figure