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Three Operator Splitting with a Nonconvex Loss Function
Massachusetts Institute of Technology, Cambridge, Massachusetts, USA.ORCID iD: 0000-0001-7320-1506
Massachusetts Institute of Technology, Cambridge, Massachusetts, USA.
Massachusetts Institute of Technology, Cambridge, Massachusetts, USA.
2021 (English)In: Proceedings of the 38th International Conference on Machine Learning, 2021, Vol. 139, p. 12267-12277Conference paper, Published paper (Refereed)
Abstract [en]

We consider the problem of minimizing the sum of three functions, one of which is nonconvex but differentiable, and the other two are convex but possibly nondifferentiable. We investigate the Three Operator Splitting method (TOS) of Davis & Yin (2017) with an aim to extend its theoretical guarantees for this nonconvex problem template. In particular, we prove convergence of TOS with nonasymptotic bounds on its nonstationarity and infeasibility errors. In contrast with the existing work on nonconvex TOS, our guarantees do not require additional smoothness assumptions on the terms comprising the objective; hence they cover instances of particular interest where the nondifferentiable terms are indicator functions. We also extend our results to a stochastic setting where we have access only to an unbiased estimator of the gradient. Finally, we illustrate the effectiveness of the proposed method through numerical experiments on quadratic assignment problems. 

Place, publisher, year, edition, pages
2021. Vol. 139, p. 12267-12277
Series
Proceedings of Machine Learning Research (PMLR), ISSN 2640-3498 ; 139
Keywords [en]
Three operator splitting, Davis-Yin splitting, nonconvex optimization, stochastic optimization, quadratic assignment problem, QAP
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:umu:diva-190502OAI: oai:DiVA.org:umu-190502DiVA, id: diva2:1620844
Conference
38th International Conference on Machine Learning, Virtual, July 18-24, 2021
Available from: 2021-12-16 Created: 2021-12-16 Last updated: 2024-07-02Bibliographically approved

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Yurtsever, Alp

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CiteExportLink to record
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Citation style
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