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Poster
First-order Stochastic Algorithms for Escaping From Saddle Points in Almost Linear Time
Yi Xu · Rong Jin · Tianbao Yang

Thu Dec 06 02:00 PM -- 04:00 PM (PST) @ Room 210 #19
in Thu Poster Session B »
(This is a theory paper) In this paper, we consider first-order methods for solving stochastic non-convex optimization problems. The key building block of the proposed algorithms is first-order procedures to extract negative curvature from the Hessian matrix through a principled sequence starting from noise, which are referred to {\it NEgative-curvature-Originated-from-Noise or NEON} and are of independent interest. Based on this building block, we design purely first-order stochastic algorithms for escaping from non-degenerate saddle points with a much better time complexity (almost linear time in the problem's dimensionality). In particular, we develop a general framework of {\it first-order stochastic algorithms} with a second-order convergence guarantee based on our new technique and existing algorithms that may only converge to a first-order stationary point. For finding a nearly {\it second-order stationary point} $\x$ such that $\|\nabla F(\x)\|\leq \epsilon$ and $\nabla^2 F(\x)\geq -\sqrt{\epsilon}I$ (in high probability), the best time complexity of the presented algorithms is $\widetilde O(d/\epsilon^{3.5})$, where $F(\cdot)$ denotes the objective function and $d$ is the dimensionality of the problem. To the best of our knowledge, this is the first theoretical result of first-order stochastic algorithms with an almost linear time in terms of problem's dimensionality for finding second-order stationary points, which is even competitive with existing stochastic algorithms hinging on the second-order information.
Keywords: Stochastic Methods · Non-Convex Optimization

Author Information

Yi Xu (The University of Iowa)
Rong Jin (Alibaba)
Tianbao Yang (The University of Iowa)

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