Non-convex Optimization for Machine Learning

A vast majority of machine learning algorithms train their models and perform inference by solving optimization problems. In order to capture the learning and prediction problems accurately, structural constraints such as sparsity or low rank are frequently imposed or else the objective itself is designed to be a non-convex function. This is especially true of algorithms that operate in high-dimensional spaces or that train non-linear models such as tensor models and deep networks. The freedom to express the learning problem as a non-convex optimization problem gives immense modeling power to the algorithm designer, but often such problems are NP-hard to solve. A popular workaround to this has been to relax non-convex problems to convex ones and use traditional methods to solve the (convex) relaxed optimization problems. However this approach may be lossy and nevertheless presents significant challenges for large scale optimization. On the other hand, direct approaches to non-convex optimization have met with resounding success in several domains and remain the methods of choice for the practitioner, as they frequently outperform relaxation-based techniques - popular heuristics include projected gradient descent and alternating minimization. However, these are often poorly understood in terms of their convergence and other properties. This monograph presents a selection of recent advances that bridge a long-standing gap in our understanding of these heuristics. The monograph will lead the reader through several widely used non-convex optimization techniques, as well as applications thereof. The goal of this monograph is to both, introduce the rich literature in this area, as well as equip the reader with the tools and techniques needed to analyze these simple procedures for non-convex problems.Comment: The official publication is available from now publishers via http://dx.doi.org/10.1561/220000005

Computational Complexity versus Statistical Performance on Sparse Recovery Problems

We show that several classical quantities controlling compressed sensing performance directly match classical parameters controlling algorithmic complexity. We first describe linearly convergent restart schemes on first-order methods solving a broad range of compressed sensing problems, where sharpness at the optimum controls convergence speed. We show that for sparse recovery problems, this sharpness can be written as a condition number, given by the ratio between true signal sparsity and the largest signal size that can be recovered by the observation matrix. In a similar vein, Renegar's condition number is a data-driven complexity measure for convex programs, generalizing classical condition numbers for linear systems. We show that for a broad class of compressed sensing problems, the worst case value of this algorithmic complexity measure taken over all signals matches the restricted singular value of the observation matrix which controls robust recovery performance. Overall, this means in both cases that, in compressed sensing problems, a single parameter directly controls both computational complexity and recovery performance. Numerical experiments illustrate these points using several classical algorithms.Comment: Final version, to appear in information and Inferenc

Structured Sparsity: Discrete and Convex approaches

Compressive sensing (CS) exploits sparsity to recover sparse or compressible signals from dimensionality reducing, non-adaptive sensing mechanisms. Sparsity is also used to enhance interpretability in machine learning and statistics applications: While the ambient dimension is vast in modern data analysis problems, the relevant information therein typically resides in a much lower dimensional space. However, many solutions proposed nowadays do not leverage the true underlying structure. Recent results in CS extend the simple sparsity idea to more sophisticated {\em structured} sparsity models, which describe the interdependency between the nonzero components of a signal, allowing to increase the interpretability of the results and lead to better recovery performance. In order to better understand the impact of structured sparsity, in this chapter we analyze the connections between the discrete models and their convex relaxations, highlighting their relative advantages. We start with the general group sparse model and then elaborate on two important special cases: the dispersive and the hierarchical models. For each, we present the models in their discrete nature, discuss how to solve the ensuing discrete problems and then describe convex relaxations. We also consider more general structures as defined by set functions and present their convex proxies. Further, we discuss efficient optimization solutions for structured sparsity problems and illustrate structured sparsity in action via three applications.Comment: 30 pages, 18 figure

Block-Sparse Recovery via Convex Optimization

Given a dictionary that consists of multiple blocks and a signal that lives in the range space of only a few blocks, we study the problem of finding a block-sparse representation of the signal, i.e., a representation that uses the minimum number of blocks. Motivated by signal/image processing and computer vision applications, such as face recognition, we consider the block-sparse recovery problem in the case where the number of atoms in each block is arbitrary, possibly much larger than the dimension of the underlying subspace. To find a block-sparse representation of a signal, we propose two classes of non-convex optimization programs, which aim to minimize the number of nonzero coefficient blocks and the number of nonzero reconstructed vectors from the blocks, respectively. Since both classes of problems are NP-hard, we propose convex relaxations and derive conditions under which each class of the convex programs is equivalent to the original non-convex formulation. Our conditions depend on the notions of mutual and cumulative subspace coherence of a dictionary, which are natural generalizations of existing notions of mutual and cumulative coherence. We evaluate the performance of the proposed convex programs through simulations as well as real experiments on face recognition. We show that treating the face recognition problem as a block-sparse recovery problem improves the state-of-the-art results by 10% with only 25% of the training data.Comment: IEEE Transactions on Signal Processin