Nonsmooth Nonconvex Composite Optimization

In progress. Upcoming: Uniformization of notations, full sets of assumptions, convergence results and comparisons

1. Nonconvex Optimization Problem with Convex Nonsmooth Term

We consider the following generic optimization problem

\[\underset{x\in\mathbb{R}^{m}}{\mathrm{minimize}}\; \left\{\mathcal{L}(x) \triangleq F(x) + R(X) \right\}\]

where \(F\triangleq \frac{1}{n}\sum_{i=1}^n F_i(x)\) has a finite-sum structure, and the function \(R\) is a possibly non-smooth simple convex function. Here, \(R\) is said to be simple in the sense that its proximity operator has a closed form expression. Moreover, throughout this section, we will resort to the following assumptions.

Assumptions A1 and A2 are basic assumptions used in optimization. A1 usually holds since \(F\) and \(R\) typically stand for a loss function and a regularizer, respectively. Hence, they are usually nonnegative or bounded from below, and the domain of \(R\) intersects the domain of \(F\). Also note that, most of convex regularizers popularly encountered also satisfy A2. The next assumption A3 deals with the smoothness of \(F\) and its components. As such, full-batch algorithms will rely on A3-i while stochastic algorithms, which fully exploits the finite-sum nature of \(F\), will typically rely on A3-ii. Note that some exceptions may rely on the weaker assumption A3-iii. Finally, A4 is standard in stochastic optimization. It appears useful when \(n\) is extremely large since passing over \(n\) data points is exhaustive or impossible.

Actually, in some works, slightly weaker assumptions may be required. However, the assumptions stated above are general enough to encapsulate many optimization problems.

1.1. Full-batch algorithms

We begin by presenting some algorithms which do not take into account the finite-sum nature of \(F\). In their original forms, they allow for inexact gradient computations and/or inexact computations of the proximal points. However, here, for the sake of simplicity, we will not show such aspects and solely deal with exact computations.

NIPS [Sra, 2012]. The Nonconvex Inexact Proximal Splitting method hinges on the splitting into smooth and nonsmooth parts. Without inexact gradient computation, it boils down to the following nonconvex forward-backward algorithm.

\[\begin{array}{l}x_0\in\mathbb{R}^{m}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} x_{k+1} \in \mathrm{prox}_{\gamma_{k} R}\; \left( x_k - \gamma_{k} \nabla F(x_k) + \gamma_{k} \right) \end{array}\right.\end{array}\]

VMILAn [Bonettini et al., 2017]. The Variable Metric Inexact Line-search Algorithm (new version)

\[\begin{array}{l}x_0\in\mathbb{R}^{m}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} x_{k+1/2} \in \mathrm{prox}_{\gamma_{k} R}\; \left( x_k - \gamma_{k} \nabla F(x_k) + \gamma_{k} \right)\\ x_{k+1} = (1-\rho_k) x_k + \rho_k x_{k+1/2} \end{array}\right.\end{array}\]

The relaxation parameter \(\rho_k\) is determined to yield a sufficient decrease in objective value.

1.2. Stochastic variance-reduced algorithms

We now present a variety of proximal variance reduction stochastic gradient algorithms.

ProxSVRG [Reddi et al., 2016]. This algorithm is a nonconvex variant of the Proximal Stochastic Variance Reduced Gradient method devised in [Xiao and Zhang, 2014]. Note that ProxSVRG is not a fully incremental algorithm since it requires calculation of the full gradient once per epoch. Convergence results.

\[\begin{array}{l}\bar{x}_0 = x_0^{(M)}=x_0\in\mathbb{R}^{m}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} x_{k+1}^{(0)} = x_k^{(M)}\\ g_{k+1} = \frac{1}{n}\sum_{i=1}^n \nabla F_i(\bar{x}_k)\\ \text{for}\;m=0,1,\ldots,M-1\\[0.4ex] \left\lfloor\begin{array}{l} \text{Uniformly pick batches } I_m \text{ (with replacement) of size } b\\ \bar{g}_{k+1}^{(m)} = g_{k+1} + \frac{1}{b}\sum_{i_m\in I_m} \left( \nabla F_{i_m}(x_{k+1}^{(m)}) - \nabla F_{i_m}(\bar{x}_{k})\right)\\ x_{k+1}^{(m+1)} = \mathrm{prox}_{\gamma R}\left( x_{k+1}^{(m)} - \gamma \bar{g}_{k+1}^{(m)}\right) \end{array}\right.\\ \bar{x}_{k+1} = x_{k+1}^{(M)} \end{array}\right.\end{array}\]

ProxSAGA [Reddi et al., 2016]. By hinging on the work of [Defazio et al., 2014], the authors have devised a nonconvex proximal variant of SAGA as follows.

\[\begin{array}{l}x_0\in\mathbb{R}^{m}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} \text{Uniformly pick batches } I_k \text{ and } J_k \text{ (with replacement) of size } b\\ \bar{g}_k = \tilde{g}_k + \frac{1}{b}\sum_{i_k\in I_k} ( \nabla F_{i_k}(x_k) - \nabla F_{i_k}(\bar{x}_{k,i_k}))\\ x_{k+1} = \mathrm{prox}_{\gamma R}\; \left( x_k - \gamma \bar{g}_k\right)\\ \bar{x}_{k+1,j}=x_{k} \text{ for } j\in J_k \text{ and } \bar{x}_{k,j} \text{ otherwise}\\ \tilde{g}_{k+1} = \tilde{g}_k - \frac{1}{n} \sum_{j_k\in J_k} ( \nabla F_{j_k}(\bar{x}_{k,j_k}) - \nabla F_{j_k}(\bar{x}_{k+1,j_k})) \end{array}\right.\end{array}\]

ProxSpiderBoost [Wang et al., 2019]. SpiderBoost uses the same gradient estimator as SARAH and SPIDER.

\[\begin{array}{l}x_0\in\mathbb{R}^{m}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} \text{if } \mathrm{mod}(k,q)=0 \text{ then }\\ \left\lfloor\begin{array}{l} g_{k+1} = \nabla F(x_k) \end{array}\right.\\ \text{else}\\ \left\lfloor\begin{array}{l} \text{Uniformly pick batch } I_k \text{ (with replacement) of size } b\\ g_{k+1} = \frac{1}{b}\sum_{i\in I_k}\left( \nabla F_i(x_k) - \nabla F_i(x_{k-1}) + g_{k}\right) \end{array}\right.\\ x_{k+1} = \mathrm{prox}_{\gamma R}\; \left( x_k - \gamma g_{k+1} \right) \end{array}\right.\end{array}\]

ProxSARAH [Pham et al., 2020]. The ProxSARAH algorithm differs from the StochAstic Recursive grAdient algoritHm (SARAH) by its proximal step followed by an additional averaging step. Note that, for \(\rho_m=1\), it boils down to the vanilla proximal SARAH which is similar to ProxSVRG and ProxSpiderBoost. Convergence results.

\[\begin{array}{l}\tilde{x}_0 \in\mathbb{R}^{m}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} x_{k+1}^{(0)} = \tilde{x}_k \\ \text{Randomly pick batch } J_k \text{ of size } b \\ g_{k+1}^{(0)} = \frac{1}{b}\sum_{j\in J_k} \nabla F_{j}(x_{k+1}^{(0)}) \\ \bar{x}_{k+1}^{(0)} = \mathrm{prox}_{\gamma_0 R}\left( x_{k+1}^{(0)} - \gamma_0 g_{k+1}^{(0)}\right)\\ x_{k+1}^{(0)} = (1-\rho_0) x_{k+1}^{(0)} + \rho_0 \bar{x}_0^{(0)}\\ \text{for}\;m=0,1,\ldots,M-1\\[0.4ex] \left\lfloor\begin{array}{l} \text{Randomly pick batch } I_m \text{ of size } b_m\\ {g}_{k+1}^{(m+1)} = g_{k+1}^{(m)} + \frac{1}{b_m}\sum_{i\in I_m} \left( \nabla F_{i}(x_{k+1}^{(m+1)}) - \nabla F_{i}(x_{k+1}^{(m)})\right)\\ \bar{x}_{k+1}^{(m+1)} = \mathrm{prox}_{\gamma_m R}\left( x_{k+1}^{(m)} - \gamma_k g_{k+1}^{(m+1)}\right)\\ x_{k+1}^{(m+1)} = (1-\rho_m) x_{k+1}^{(m)} + \rho_m \bar{x}_{k+1}^{(m+1)} \end{array}\right.\\ \tilde{x}_{k+1} = x_{k+1}^{(M)} \end{array}\right.\end{array}\]

Comparison of Stochastic First-order Oracle (SFO) complexity

Algorithms SFO Step-size
ProxSVRG \(\mathcal{O}(n+n^{2/3}\epsilon^{-2})\) \(\mathcal{O}(\frac{1}{nL})\to \mathcal{O}(\frac{1}{L})\)
ProxSAGA \(\mathcal{O}(n+n^{2/3}\epsilon^{-2})\) \(\mathcal{O}(\frac{1}{nL})\to \mathcal{O}(\frac{1}{L})\)
ProxSpiderBoost \(\mathcal{O}(n+n^{1/2}\epsilon^{-2})\) \(\mathcal{O}(\frac{1}{L})\)
ProxSARAH \(\mathcal{O}(n+n^{1/2}\epsilon^{-2})\) \(\mathcal{O}(\frac{1}{\sqrt{n}L})\to \mathcal{O}(\frac{1}{L})\)

1.3. Incremental algorithms

PIAG [Peng et al., 2019]. The key idea of the Proximal Incremental Aggregated Gradient algorithm is to construct an inexact gradient to substitute for the full gradient at each iteration. This inexact gradient is devised by evaluating \(F\) at past iterates \(x_{k - \tau_{k,i}}\) where the time-varying delays \(\tau_{k,i}\in\{0,\ldots,\tau\}\) for some maximum delay parameter \(\tau\in\mathbb{N}^+\).

\[\begin{array}{l}x_0\in\mathbb{R}^{m}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} g_k = \sum_{i=1}^n \nabla F_i ( x_{k - \tau_{k,i}})\\ x_{k+1} = \mathrm{prox}_{\gamma R}\; \left( x_k - \gamma g_k\right) \end{array}\right.\end{array}\]

2. Nonconvex Optimization Problem with Nonconvex Nonsmooth Term

We now consider a variant where the nonsmooth part can be nonconvex. To this effect, we consider optimization problems of the form

\[\underset{x\in\mathbb{R}^{m}}{\mathrm{minimize}}\; \left\{\mathcal{L}(x) \triangleq F(x) + G(X) + R(X) \right\}\]

where the smooth part \(F\triangleq \frac{1}{n}\sum_{i=1}^n F_i(x)\) has a finite-sum structure and the nonsmooth part is divided into two terms \(R\) and \(G\) which are convex and nonconvex, respectively. As in Section 1, we assume that both \(G\) and \(R\) have efficiently computable proximal operators.

VRSPA [Metel and Takeda, 2021]. The Variance Reduced Stochastic Proximal Algorithm is a variant of MBSPA, devised by the same authors, which takes advantage of the finite-sum nature of \(F\). Given some parameter \(\lambda>0\), the algorithm reads as follows. Convergence results.

\[\begin{array}{l} \tilde{x}_0 \in\mathbb{R}^{m}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} x_{k+1}^{(0)} = \tilde{x}_k \\ g_{k+1} = \nabla F(\tilde{x}_k)\\ \text{for}\;m=0,1,\ldots,M-1\\[0.4ex] \left\lfloor\begin{array}{l} \bar{x}_k^{(m)} \in \mathrm{prox}_{\lambda G}(x_{k+1}^{(m)})\\ \text{Uniformly pick batch } I_m \text{ of size } b\\ {g}_{k+1}^{(m+1)} = g_{k+1} + \frac{1}{\lambda}( x_k^{(m)} - \bar{x}_k^{(m)}) + \frac{1}{b}\sum_{i\in I_m} \left( \nabla F_{i}(x_{k+1}^{(m+1)}) - \nabla F_{i}(\tilde{x}_k)\right)\\ \bar{x}_{k+1}^{(m+1)} = \mathrm{prox}_{\gamma R}\left( x_{k+1}^{(m)} - \gamma g_{k+1}^{(m+1)}\right)\\ \end{array}\right.\\ \tilde{x}_{k+1} = x_{k+1}^{(M)} \end{array}\right.\end{array}\]

3. Nonconvex Block-Structured Optimization Problem

We consider the following block-structured optimization problem

\[\underset{x\in\mathbb{R}^{m_1}, y\in\mathbb{R}^{m_2}}{\mathrm{minimize}}\; \left\{\mathcal{L}(x,y) \triangleq R(x) + F(x,y) + Q(y) \right\}\]

where \(F\triangleq \frac{1}{n}\sum_{i=1}^n F_i(x,y)\) has a finite-sum structure, and functions \(R\) and \(Q\) are possibly non-smooth functions.

No convexity assumption is imposed on any of the functions \(R\), \(F_i\), \(Q\).

PAM [Attouch et al., 2010]. The Proximal Alternating Minimization method

\[\begin{array}{l}(x_0,y_0)\in\mathbb{R}^{m_1}\times \mathbb{R}^{m_2}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} x_{k+1} \in \underset{x\in\mathbb{R}^{m_1}}{\mathrm{argmin}}\; \mathcal{L}(x,y_k) + \frac{1}{2\gamma_{1,k}} \| x - x_k \|^2\\ y_{k+1} \in \underset{y\in\mathbb{R}^{m_2}}{\mathrm{argmin}}\; \mathcal{L}(x_{k+1},y) + \frac{1}{2\gamma_{2,k}} \| y - y_k \|^2 \end{array}\right.\end{array}\]

PALM [Bolte et al., 2013]. The Proximal Alternating Linearized Minimization method circumvent the limitation of PAM by replacing the subproblems with their proximal linearizations :

\[\begin{align} \mathcal{L}_{1,k}(x)&\triangleq F(x_k,y_k) + \nabla_x F(x_k,y_k)^ \top(x-x_k) + \frac{1}{2\gamma_{1,k}}\|x_k - x\|^2 + R(x)\\ \mathcal{L}_{2,k}(y)&\triangleq F(x_{k+1},y_k) + \nabla_y F(x_{k+1},y_k)^ \top(y-y_k) + \frac{1}{2\gamma_{2,k}}\|y_k - y\|^2 + Q(y) \end{align}\]

This results in the following PALM’s iterations:

\[\begin{array}{l}(x_0,y_0)\in\mathbb{R}^{m_1}\times \mathbb{R}^{m_2}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} x_{k+1} \in \mathrm{prox}_{\gamma_{1,k} R}\; \left( x_k - \gamma_{1,k} \nabla_x F(x_k,y_k) \right)\\ y_{k+1} \in \mathrm{prox}_{\gamma_{2,k} Q}\; \left( y_k - \gamma_{2,k} \nabla_y F(x_{k+1},y_k) \right) \end{array}\right.\end{array}\]

iPALM [Pock and Sabach, 2016].

\[\begin{array}{l}(x_0,y_0)\in\mathbb{R}^{m_1}\times \mathbb{R}^{m_2}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} \tilde{x}_{k} = x_k + \alpha_{1,k}( x_k - x_{k-1})\\ \bar{x}_k = x_k + \beta_{1,k}(x_k - x_{k-1})\\ x_{k+1} \in \mathrm{prox}_{\gamma_{1,k} R}\; \left( \tilde{x}_k - \gamma_{1,k} \nabla_x F(\bar{x}_k,y_k) \right)\\ \tilde{y}_{k} = y_k + \alpha_{2,k}( y_k - y_{k-1})\\ \bar{y}_k = y_k + \beta_{2,k}(y_k - y_{k-1})\\ y_{k+1} \in \mathrm{prox}_{\gamma_{2,k} Q}\; \left( \tilde{y}_k - \gamma_{2,k} \nabla_y F(x_{k+1},\bar{y}_k) \right) \end{array}\right.\end{array}\]

GiPALM [Gao et al., 2019]. The Gauss-Seidel type iPALM

\[\begin{array}{l}(\bar{x}_0,\bar{y}_0)\in\mathbb{R}^{m_1}\times \mathbb{R}^{m_2}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} x_{k+1} \in \mathrm{prox}_{\gamma_{1,k} R}\; \left( \bar{x}_k - \gamma_{1,k} \nabla_x F(\bar{x}_k,\bar{y}_k) \right)\\ \bar{x}_{k+1} = x_{k+1} + \rho_{1,k}(x_{k+1} - x_{k})\\ y_{k+1} \in \mathrm{prox}_{\gamma_{2,k} Q}\; \left( \bar{y}_k - \gamma_{2,k} \nabla_y F(\bar{x}_{k+1},\bar{y}_k) \right)\\ \bar{y}_{k+1} = y_{k+1} + \rho_{2,k}(y_{k+1} - y_{k})\\ \end{array}\right.\end{array}\]

SPRING [Driggs et al., 2021]. The Stochastic PRoximal alternatING linearized minimization algorithm is a randomized version of PALM where the gradients are replaced by random estimates \(\tilde{\nabla} F\) formed using the gradients estimated on mini-batches.

\[\begin{array}{l}(x_0,y_0)\in\mathbb{R}^{m_1}\times \mathbb{R}^{m_2}\\ \text{for}\;k=0,1,\ldots,K-1\\[0.4ex] \left\lfloor\begin{array}{l} x_{k+1} \in \mathrm{prox}_{\gamma_{1,k} R}\; \left( x_k - \gamma_{1,k} \tilde{\nabla}_x F(x_k,y_k) \right)\\ y_{k+1} \in \mathrm{prox}_{\gamma_{2,k} Q}\; \left( y_k - \gamma_{2,k} \tilde{\nabla}_y F(x_{k+1},y_k) \right) \end{array}\right.\end{array}\]

Notations

Notations Meaning Type and range
\(\gamma\) Step-size positive real
\(\rho\) Relaxation parameter real in \((0,1]\)
\(\alpha\), \(\beta\) Inertial parameter real in \([0,1]\)
\(I\), \(J\) Mini-batch finite set of integers
\(b\) Size of mini-batch positive integer
\(g\), \(\tilde{g}\), \(\bar{g}\) Gradient (instant, average or approximation) real matrices

References