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Many machine learning problems lack strong convexity properties. Fortunately, recent studies have revealed that first-order algorithms also enjoy linear convergences under various weaker regularity conditions. While the relationship among different conditions for convex and smooth functions is well understood, it is not the case for the nonsmooth setting. In this paper, we go beyond convexity and smoothness, and clarify the connections among common regularity conditions (including $\textit{strong convexity, restricted secant inequality, subdifferential error bound, Polyak-{\L}ojasiewicz inequality, and quadratic growth}$) in the class of weakly convex functions. In addition, we present a simple and modular proof for the linear convergence of the $\textit{proximal point method}$ (PPM) for convex (possibly nonsmooth) optimization using these regularity conditions. The linear convergence also holds when the subproblems of PPM are solved inexactly with a proper control of inexactness., Comment: 26 pages and 2 figures

We revisit a formulation technique for inequality constrained optimization problems that has been known for decades: the substitution of squared variables for nonnegative variables. Using this technique, inequality constraints are converted to equality constraints via the introduction of a squared-slack variable. Such formulations have the superficial advantage that inequality constraints can be dispensed with altogether. But there are clear disadvantages, not least being that first-order optimal points for the squared-variable reformulation may not correspond to first-order optimal points for the original problem, because the Lagrange multipliers may have the wrong sign. Extending previous results, this paper shows that points satisfying approximate second-order optimality conditions for the squared-variable reformulation also, under certain conditions, satisfy approximate second-order optimality conditions for the original formulation, and vice versa. Such results allow us to adapt complexity analysis of methods for equality constrained optimization to account for inequality constraints. On the algorithmic side, we examine squared-variable formulations for several interesting problem classes, including bound-constrained quadratic programming and linear programming. We show that algorithms built on these formulations are surprisingly competitive with standard methods. For linear programming, we examine the relationship between the squared-variable approach and primal-dual interior-point methods., Comment: 30 pages, 1 figure, and 5 tables

This paper rigorously shows how over-parameterization changes the convergence behaviors of gradient descent (GD) for the matrix sensing problem, where the goal is to recover an unknown low-rank ground-truth matrix from near-isotropic linear measurements. First, we consider the symmetric setting with the symmetric parameterization where $M^* \in \mathbb{R}^{n \times n}$ is a positive semi-definite unknown matrix of rank $r \ll n$, and one uses a symmetric parameterization $XX^\top$ to learn $M^*$. Here $X \in \mathbb{R}^{n \times k}$ with $k > r$ is the factor matrix. We give a novel $\Omega (1/T^2)$ lower bound of randomly initialized GD for the over-parameterized case ($k >r$) where $T$ is the number of iterations. This is in stark contrast to the exact-parameterization scenario ($k=r$) where the convergence rate is $\exp (-\Omega (T))$. Next, we study asymmetric setting where $M^* \in \mathbb{R}^{n_1 \times n_2}$ is the unknown matrix of rank $r \ll \min\{n_1,n_2\}$, and one uses an asymmetric parameterization $FG^\top$ to learn $M^*$ where $F \in \mathbb{R}^{n_1 \times k}$ and $G \in \mathbb{R}^{n_2 \times k}$. Building on prior work, we give a global exact convergence result of randomly initialized GD for the exact-parameterization case ($k=r$) with an $\exp (-\Omega(T))$ rate. Furthermore, we give the first global exact convergence result for the over-parameterization case ($k>r$) with an $\exp(-\Omega(\alpha^2 T))$ rate where $\alpha$ is the initialization scale. This linear convergence result in the over-parameterization case is especially significant because one can apply the asymmetric parameterization to the symmetric setting to speed up from $\Omega (1/T^2)$ to linear convergence. On the other hand, we propose a novel method that only modifies one step of GD and obtains a convergence rate independent of $\alpha$, recovering the rate in the exact-parameterization case.

The spectral bundle method developed by Helmberg and Rendl is well-established for solving large-scale semidefinite programs (SDPs) in the dual form, especially when the SDPs admit $\textit{low-rank primal solutions}$. Under mild regularity conditions, a recent result by Ding and Grimmer has established fast linear convergence rates when the bundle method captures $\textit{the rank of primal solutions}$. In this paper, we present an overview and comparison of spectral bundle methods for solving both $\textit{primal}$ and $\textit{dual}$ SDPs. In particular, we introduce a new family of spectral bundle methods for solving SDPs in the $\textit{primal}$ form. The algorithm developments are parallel to those by Helmberg and Rendl, mirroring the elegant duality between primal and dual SDPs. The new family of spectral bundle methods also achieves linear convergence rates for primal feasibility, dual feasibility, and duality gap when the algorithm captures $\textit{the rank of the dual solutions}$. Therefore, the original spectral bundle method by Helmberg and Rendl is well-suited for SDPs with $\textit{low-rank primal solutions}$, while on the other hand, our new spectral bundle method works well for SDPs with $\textit{low-rank dual solutions}$. These theoretical findings are supported by a range of large-scale numerical experiments. Finally, we demonstrate that our new spectral bundle method achieves state-of-the-art efficiency and scalability for solving polynomial optimization compared to a set of baseline solvers $\textsf{SDPT3}$, $\textsf{MOSEK}$, $\textsf{CDCS}$, and $\textsf{SDPNAL+}$., Comment: 57 pages, 4 figures, and 4 tables

We study a sample complexity vs. conditioning tradeoff in modern signal recovery problems (including sparse recovery, low-rank matrix sensing, covariance estimation, and abstract phase retrieval), where convex optimization problems are built from sampled observations. We begin by introducing a set of condition numbers related to sharpness in $\ell_p$ or Schatten-$p$ norms ($p\in[1,2]$) of a nonsmooth formulation for these problems. Then, we show that these condition numbers become dimension independent constants in each of the example signal recovery problems once the sample size exceeds some constant multiple of the recovery threshold. Structurally, this result ensures that the inaccuracy in the recovered signal due to both observation noise and optimization error is well-controlled. Algorithmically, such a result ensures that a new restarted mirror descent method achieves nearly-dimension-independent linear convergence to the signal. This new first-order method is general and applies to any sharp convex function in an $\ell_p$ or Schatten-$p$ norm ($p\in[1,2]$).

Trust-region methods based on Kullback-Leibler divergence are pervasively used to stabilize policy optimization in reinforcement learning. In this paper, we exploit more flexible metrics and examine two natural extensions of policy optimization with Wasserstein and Sinkhorn trust regions, namely Wasserstein policy optimization (WPO) and Sinkhorn policy optimization (SPO). Instead of restricting the policy to a parametric distribution class, we directly optimize the policy distribution and derive their closed-form policy updates based on the Lagrangian duality. Theoretically, we show that WPO guarantees a monotonic performance improvement, and SPO provably converges to WPO as the entropic regularizer diminishes. Moreover, we prove that with a decaying Lagrangian multiplier to the trust region constraint, both methods converge to global optimality. Experiments across tabular domains, robotic locomotion, and continuous control tasks further demonstrate the performance improvement of both approaches, more robustness of WPO to sample insufficiency, and faster convergence of SPO, over state-of-art policy gradient methods.

In this paper, we study the problem of recovering a low-rank matrix from a number of noisy random linear measurements. We consider the setting where the rank of the ground-truth matrix is unknown a prior and use an overspecified factored representation of the matrix variable, where the global optimal solutions overfit and do not correspond to the underlying ground-truth. We then solve the associated nonconvex problem using gradient descent with small random initialization. We show that as long as the measurement operators satisfy the restricted isometry property (RIP) with its rank parameter scaling with the rank of ground-truth matrix rather than scaling with the overspecified matrix variable, gradient descent iterations are on a particular trajectory towards the ground-truth matrix and achieve nearly information-theoretically optimal recovery when stop appropriately. We then propose an efficient early stopping strategy based on the common hold-out method and show that it detects nearly optimal estimator provably. Moreover, experiments show that the proposed validation approach can also be efficiently used for image restoration with deep image prior which over-parameterizes an image with a deep network., Comment: 29 pages and 9 figures

Empirical evidence suggests that for a variety of overparameterized nonlinear models, most notably in neural network training, the growth of the loss around a minimizer strongly impacts its performance. Flat minima -- those around which the loss grows slowly -- appear to generalize well. This work takes a step towards understanding this phenomenon by focusing on the simplest class of overparameterized nonlinear models: those arising in low-rank matrix recovery. We analyze overparameterized matrix and bilinear sensing, robust PCA, covariance matrix estimation, and single hidden layer neural networks with quadratic activation functions. In all cases, we show that flat minima, measured by the trace of the Hessian, exactly recover the ground truth under standard statistical assumptions. For matrix completion, we establish weak recovery, although empirical evidence suggests exact recovery holds here as well. We conclude with synthetic experiments that illustrate our findings and discuss the effect of depth on flat solutions., Comment: 36 pages

We study the asymmetric matrix factorization problem under a natural nonconvex formulation with arbitrary overparametrization. The model-free setting is considered, with minimal assumption on the rank or singular values of the observed matrix, where the global optima provably overfit. We show that vanilla gradient descent with small random initialization sequentially recovers the principal components of the observed matrix. Consequently, when equipped with proper early stopping, gradient descent produces the best low-rank approximation of the observed matrix without explicit regularization. We provide a sharp characterization of the relationship between the approximation error, iteration complexity, initialization size and stepsize. Our complexity bound is almost dimension-free and depends logarithmically on the approximation error, with significantly more lenient requirements on the stepsize and initialization compared to prior work. Our theoretical results provide accurate prediction for the behavior gradient descent, showing good agreement with numerical experiments., Comment: 30 pages, 7 figures

We study the robust recovery of a low-rank matrix from sparsely and grossly corrupted Gaussian measurements, with no prior knowledge on the intrinsic rank. We consider the robust matrix factorization approach. We employ a robust $\ell_1$ loss function and deal with the challenge of the unknown rank by using an overspecified factored representation of the matrix variable. We then solve the associated nonconvex nonsmooth problem using a subgradient method with diminishing stepsizes. We show that under a regularity condition on the sensing matrices and corruption, which we call restricted direction preserving property (RDPP), even with rank overspecified, the subgradient method converges to the exact low-rank solution at a sublinear rate. Moreover, our result is more general in the sense that it automatically speeds up to a linear rate once the factor rank matches the unknown rank. On the other hand, we show that the RDPP condition holds under generic settings, such as Gaussian measurements under independent or adversarial sparse corruptions, where the result could be of independent interest. Both the exact recovery and the convergence rate of the proposed subgradient method are numerically verified in the overspecified regime. Moreover, our experiment further shows that our particular design of diminishing stepsize effectively prevents overfitting for robust recovery under overparameterized models, such as robust matrix sensing and learning robust deep image prior. This regularization effect is worth further investigation., Comment: 75 pages, 3 figures

Tensors are widely used to represent multiway arrays of data. The recovery of missing entries in a tensor has been extensively studied, generally under the assumption that entries are missing completely at random (MCAR). However, in most practical settings, observations are missing not at random (MNAR): the probability that a given entry is observed (also called the propensity) may depend on other entries in the tensor or even on the value of the missing entry. In this paper, we study the problem of completing a partially observed tensor with MNAR observations, without prior information about the propensities. To complete the tensor, we assume that both the original tensor and the tensor of propensities have low multilinear rank. The algorithm first estimates the propensities using a convex relaxation and then predicts missing values using a higher-order SVD approach, reweighting the observed tensor by the inverse propensities. We provide finite-sample error bounds on the resulting complete tensor. Numerical experiments demonstrate the effectiveness of our approach., Comment: AISTATS 2021

The nuclear norm and Schatten-$p$ quasi-norm are popular rank proxies in low-rank matrix recovery. However, computing the nuclear norm or Schatten-$p$ quasi-norm of a tensor is hard in both theory and practice, hindering their application to low-rank tensor completion (LRTC) and tensor robust principal component analysis (TRPCA). In this paper, we propose a new class of tensor rank regularizers based on the Euclidean norms of the CP component vectors of a tensor and show that these regularizers are monotonic transformations of tensor Schatten-$p$ quasi-norm. This connection enables us to minimize the Schatten-$p$ quasi-norm in LRTC and TRPCA implicitly via the component vectors. The method scales to big tensors and provides an arbitrarily sharper rank proxy for low-rank tensor recovery compared to the nuclear norm. On the other hand, we study the generalization abilities of LRTC with the Schatten-$p$ quasi-norm regularizer and LRTC with the proposed regularizers. The theorems show that a relatively sharper regularizer leads to a tighter error bound, which is consistent with our numerical results. Particularly, we prove that for LRTC with Schatten-$p$ quasi-norm regularizer on $d$-order tensors, $p=1/d$ is always better than any $p>1/d$ in terms of the generalization ability. We also provide a recovery error bound to verify the usefulness of small $p$ in the Schatten-$p$ quasi-norm for TRPCA. Numerical results on synthetic data and real data demonstrate the effectiveness of the regularization methods and theorems., Comment: Published by Transactions on Machine Learning Research, January 2023; https://openreview.net/forum?id=Grhi800jVz

In this paper, we provide an elementary, geometric, and unified framework to analyze conic programs that we call the strict complementarity approach. This framework allows us to establish error bounds and quantify the sensitivity of the solution. The framework uses three classical ideas from convex geometry and linear algebra: linear regularity of convex sets, facial reduction, and orthogonal decomposition. We show how to use this framework to derive error bounds for linear programming (LP), second order cone programming (SOCP), and semidefinite programming (SDP)., Comment: 23 pages, 2 figures. In this revision, we added an approach based on conic decomposition. See Section D for details

Existing results for low-rank matrix recovery largely focus on quadratic loss, which enjoys favorable properties such as restricted strong convexity/smoothness (RSC/RSM) and well conditioning over all low rank matrices. However, many interesting problems involve more general, non-quadratic losses, which do not satisfy such properties. For these problems, standard nonconvex approaches such as rank-constrained projected gradient descent (a.k.a. iterative hard thresholding) and Burer-Monteiro factorization could have poor empirical performance, and there is no satisfactory theory guaranteeing global and fast convergence for these algorithms. In this paper, we show that a critical component in provable low-rank recovery with non-quadratic loss is a regularity projection oracle. This oracle restricts iterates to low-rank matrices within an appropriate bounded set, over which the loss function is well behaved and satisfies a set of approximate RSC/RSM conditions. Accordingly, we analyze an (averaged) projected gradient method equipped with such an oracle, and prove that it converges globally and linearly. Our results apply to a wide range of non-quadratic low-rank estimation problems including one bit matrix sensing/completion, individualized rank aggregation, and more broadly generalized linear models with rank constraints., Comment: 30 pages and 3 figures

The spectral bundle method proposed by Helmberg and Rendl is well established for solving large-scale semidefinite programs (SDP) thanks to its low per iteration computational complexity and strong practical performance. In this paper, we revisit this classic method showing it achieves sublinear convergence rates in terms of both primal and dual SDPs under merely strong duality, complementing previous guarantees on primal-dual convergence. Moreover, we show the method speeds up to linear convergence if (1) structurally, the SDP admits strict complementarity, and (2) algorithmically, the bundle method captures the rank of the optimal solutions. Such complementary and low rank structure is prevalent in many modern and classical applications. The linear convergent result is established via an eigenvalue approximation lemma which might be of independent interest. Numerically, we confirm our theoretical findings that the spectral bundle method, for modern and classical applications, speeds up under these conditions. Finally, we show that the spectral bundle method combined with a recent matrix sketching technique is able to solve an SDP with billions of decision variables in a matter of minutes., Comment: 37 pages, 3 figures, and 2 tables

This paper proposes a new variant of Frank-Wolfe (FW), called $k$FW. Standard FW suffers from slow convergence: iterates often zig-zag as update directions oscillate around extreme points of the constraint set. The new variant, $k$FW, overcomes this problem by using two stronger subproblem oracles in each iteration. The first is a $k$ linear optimization oracle ($k$LOO) that computes the $k$ best update directions (rather than just one). The second is a $k$ direction search ($k$DS) that minimizes the objective over a constraint set represented by the $k$ best update directions and the previous iterate. When the problem solution admits a sparse representation, both oracles are easy to compute, and $k$FW converges quickly for smooth convex objectives and several interesting constraint sets: $k$FW achieves finite $\frac{4L_f^3D^4}{\gamma\delta^2}$ convergence on polytopes and group norm balls, and linear convergence on spectrahedra and nuclear norm balls. Numerical experiments validate the effectiveness of $k$FW and demonstrate an order-of-magnitude speedup over existing approaches., Comment: 20 pages main text, 10 figures

We develop a novel variant of the classical Frank-Wolfe algorithm, which we call spectral Frank-Wolfe, for convex optimization over a spectrahedron. The spectral Frank-Wolfe algorithm has a novel ingredient: it computes a few eigenvectors of the gradient and solves a small-scale SDP in each iteration. Such procedure overcomes slow convergence of the classical Frank-Wolfe algorithm due to ignoring eigenvalue coalescence. We demonstrate that strict complementarity of the optimization problem is key to proving linear convergence of various algorithms, such as the spectral Frank-Wolfe algorithm as well as the projected gradient method and its accelerated version., Comment: The main text has nine pages. Reading the first three sections should give a good understanding of the paper and should take around 15 minutes. Published in proceedings of the 37th International Conference on Machine Learning, online, PMLR 119, 2020

Low rank matrix recovery problems appear widely in statistics, combinatorics, and imaging. One celebrated method for solving these problems is to formulate and solve a semidefinite program (SDP). It is often known that the exact solution to the SDP with perfect data recovers the solution to the original low rank matrix recovery problem. It is more challenging to show that an approximate solution to the SDP formulated with noisy problem data acceptably solves the original problem; arguments are usually ad hoc for each problem setting, and can be complex. In this note, we identify a set of conditions that we call simplicity that limit the error due to noisy problem data or incomplete convergence. In this sense, simple SDPs are robust: simple SDPs can be (approximately) solved efficiently at scale; and the resulting approximate solutions, even with noisy data, can be trusted. Moreover, we show that simplicity holds generically, and also for many structured low rank matrix recovery problems, including the stochastic block model, $\mathbb{Z}_2$ synchronization, and matrix completion. Formally, we call an SDP simple if it has a surjective constraint map, admits a unique primal and dual solution pair, and satisfies strong duality and strict complementarity. However, simplicity is not a panacea: we show the Burer-Monteiro formulation of the SDP may have spurious second-order critical points, even for a simple SDP with a rank 1 solution., Comment: 24 pages, 1 figure, and 1 table

This paper develops a new class of nonconvex regularizers for low-rank matrix recovery. Many regularizers are motivated as convex relaxations of the matrix rank function. Our new factor group-sparse regularizers are motivated as a relaxation of the number of nonzero columns in a factorization of the matrix. These nonconvex regularizers are sharper than the nuclear norm; indeed, we show they are related to Schatten-$p$ norms with arbitrarily small $0 < p \leq 1$. Moreover, these factor group-sparse regularizers can be written in a factored form that enables efficient and effective nonconvex optimization; notably, the method does not use singular value decomposition. We provide generalization error bounds for low-rank matrix completion which show improved upper bounds for Schatten-$p$ norm reglarization as $p$ decreases. Compared to the max norm and the factored formulation of the nuclear norm, factor group-sparse regularizers are more efficient, accurate, and robust to the initial guess of rank. Experiments show promising performance of factor group-sparse regularization for low-rank matrix completion and robust principal component analysis., Comment: Accepted by NeurIPS 2019. The supplementary material is at https://github.com/jicongfan/Supplementary-material-of-conference-papers

In this paper, we show that the bundle method can be applied to solve semidefinite programming problems with a low rank solution without ever constructing a full matrix. To accomplish this, we use recent results from randomly sketching matrix optimization problems and from the analysis of bundle methods. Under strong duality and strict complementarity of SDP, our algorithm produces primal and the dual sequences converging in feasibility at a rate of $\tilde{O}(1/\epsilon)$ and in optimality at a rate of $\tilde{O}(1/\epsilon^2)$. Moreover, our algorithm outputs a low rank representation of its approximate solution with distance to the optimal solution at most $O(\sqrt{\epsilon})$ within $\tilde{O}(1/\epsilon^2)$ iterations., Comment: 8 pages, 1 figure

The task of recovering a low-rank matrix from its noisy linear measurements plays a central role in computational science. Smooth formulations of the problem often exhibit an undesirable phenomenon: the condition number, classically defined, scales poorly with the dimension of the ambient space. In contrast, we here show that in a variety of concrete circumstances, nonsmooth penalty formulations do not suffer from the same type of ill-conditioning. Consequently, standard algorithms for nonsmooth optimization, such as subgradient and prox-linear methods, converge at a rapid dimension-independent rate when initialized within constant relative error of the solution. Moreover, nonsmooth formulations are naturally robust against outliers. Our framework subsumes such important computational tasks as phase retrieval, blind deconvolution, quadratic sensing, matrix completion, and robust PCA. Numerical experiments on these problems illustrate the benefits of the proposed approach., Comment: 80 pages

This paper develops a new storage-optimal algorithm that provably solves generic semidefinite programs (SDPs) in standard form. This method is particularly effective for weakly constrained SDPs. The key idea is to formulate an approximate complementarity principle: Given an approximate solution to the dual SDP, the primal SDP has an approximate solution whose range is contained in the eigenspace with small eigenvalues of the dual slack matrix. For weakly constrained SDPs, this eigenspace has very low dimension, so this observation significantly reduces the search space for the primal solution. This result suggests an algorithmic strategy that can be implemented with minimal storage: (1) Solve the dual SDP approximately; (2) compress the primal SDP to the eigenspace with small eigenvalues of the dual slack matrix; (3) solve the compressed primal SDP. The paper also provides numerical experiments showing that this approach is successful for a range of interesting large-scale SDPs., Comment: 35 pages, 24 pages of main text, 17 figures

We introduce a conic embedding condition that gives a hierarchy of cones and cone programs. This condition is satisfied by a large number of convex cones including the cone of copositive matrices, the cone of completely positive matrices, and all symmetric cones. We discuss properties of the intermediate cones and conic programs in the hierarchy. In particular, we demonstrate how this embedding condition gives rise to a family of cone programs that interpolates between LP, SOCP, and SDP. This family of $k$th order cones may be realized either as cones of $n$-by-$n$ symmetric matrices or as cones of $n$-variate even degree polynomials. The cases $k = 1, 2, n$ then correspond to LP, SOCP, SDP; or, in the language of polynomial optimization, to DSOS, SDSOS, SOS.

We introduce a few variants on Frank-Wolfe style algorithms suitable for large scale optimization. We show how to modify the standard Frank-Wolfe algorithm using stochastic gradients, approximate subproblem solutions, and sketched decision variables in order to scale to enormous problems while preserving (up to constants) the optimal convergence rate $\mathcal{O}(\frac{1}{k})$., Comment: 28 pages, 5 figures, a chapter of the book "Large-Scale and Distributed Optimization", Springer's Lecture Notes in Mathematics Series, volume 2227, https://www.springer.com/us/book/9783319974774

In this paper, we introduce a powerful technique based on Leave-one-out analysis to the study of low-rank matrix completion problems. Using this technique, we develop a general approach for obtaining fine-grained, entrywise bounds for iterative stochastic procedures in the presence of probabilistic dependency. We demonstrate the power of this approach in analyzing two of the most important algorithms for matrix completion: (i) the non-convex approach based on Projected Gradient Descent (PGD) for a rank-constrained formulation, also known as the Singular Value Projection algorithm, and (ii) the convex relaxation approach based on nuclear norm minimization (NNM). Using this approach, we establish the first convergence guarantee for the original form of PGD without regularization or sample splitting}, and in particular shows that it converges linearly in the infinity norm. For NNM, we use this approach to study a fictitious iterative procedure that arises in the dual analysis. Our results show that \NNM recovers an $ d $-by-$ d $ rank-$ r $ matrix with $\mathcal{O}(\mu r \log(\mu r) d \log d )$ observed entries. This bound has optimal dependence on the matrix dimension and is independent of the condition number. To the best of our knowledge, this is the first sample complexity result for a tractable matrix completion algorithm that satisfies these two properties simultaneously., Comment: 45 pages. The sample complexity for nuclear norm minimization has been reduced to $\mathcal{O}(\mu r \log(\mu r)d \log d )$ from $\mathcal{O}(\mu^2 r^3 d \log d)$ in the early version