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Improved rates for stochastic variance-reduced difference-of-convex algorithms
Institute of Operations Research and Analytics, National University of Singapore, Singapore.
Umeå universitet, Teknisk-naturvetenskapliga fakulteten, Institutionen för matematik och matematisk statistik.ORCID-id: 0000-0001-7320-1506
School of Computation, Information and Technology, Technical University of Munich, Germany.
Department of Mathematics, National University of Singapore, Singapore.
2025 (engelsk)Konferansepaper, Oral presentation only (Fagfellevurdert)
Abstract [en]

In this work, we propose and analyze DCA-PAGE, a novel algorithm that integrates the difference-of-convex algorithm (DCA) with the ProbAbilistic Gradient Estimator (PAGE) to solve structured nonsmooth difference-of-convex programs. In the finite-sum setting, our method achieves a gradient computation complexity of O(N+N1/2ε-2) with sample size N, surpassing the previous best-known complexity of O(N+N2/3ε-2) for stochastic variance-reduced (SVR) DCA methods. Furthermore, DCA-PAGE readily extends to online settings with a similar optimal gradient computation complexity O(b+b1/2ε-2) with batch size b, a significant advantage over existing SVR DCA approaches that only work for the finite-sum setting. We further refine our analysis with a gap function, which enables us to obtain comparable convergence guarantees under milder assumptions.

sted, utgiver, år, opplag, sider
2025.
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Identifikatorer
URN: urn:nbn:se:umu:diva-244644OAI: oai:DiVA.org:umu-244644DiVA, id: diva2:2001351
Konferanse
CDC 2025, 64th IEEE Conference on Decision and Control, Rio de Janeiro, Brazil, December 9-12, 2025
Forskningsfinansiär
Wallenberg AI, Autonomous Systems and Software Program (WASP)Tilgjengelig fra: 2025-09-26 Laget: 2025-09-26 Sist oppdatert: 2025-09-30

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