IHT dies hard: Provable accelerated Iterative Hard Thresholding

Rajiv Khanna; Anastasios Kyrillidis

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arXiv · 1712.09379

IHT dies hard: Provable accelerated Iterative Hard Thresholding

Rajiv Khanna·Anastasios Kyrillidis

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Abstract

We study --both in theory and practice-- the use of momentum motions in classic iterative hard thresholding (IHT) methods. By simply modifying plain IHT, we investigate its convergence behavior on convex optimization criteria with non-convex constraints, under standard assumptions. In diverse scenaria, we observe that acceleration in IHT leads to significant improvements, compared to state of the art projected gradient descent and Frank-Wolfe variants. As a byproduct of our inspection, we study the impact of selecting the momentum parameter: similar to convex settings, two modes of behavior are observed --"rippling" and linear-- depending on the level of momentum.

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Rajiv Khanna, Anastasios Kyrillidis. 2017-12-26. IHT dies hard: Provable accelerated Iterative Hard Thresholding. https://arxiv.org/abs/1712.09379

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