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arXiv · 1908.09941

Stochastic Optimization for Non-convex Inf-Projection Problems

Yan Yan·Yi Xu·Lijun Zhang·Xiaoyu Wang·Tianbao Yang
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Abstract

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 include 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. 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.

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Yan Yan, Yi Xu, Lijun Zhang, Xiaoyu Wang, Tianbao Yang. 2020-07-13. Stochastic Optimization for Non-convex Inf-Projection Problems. https://arxiv.org/abs/1908.09941

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