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Incremental Methods for Weakly Convex Optimization

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arxiv 1907.11687 v2 pith:QHXBZFZ7 submitted 2019-07-26 math.OC cs.ITmath.IT

classification math.OCcs.ITmath.IT
keywords incrementalmethodsconvexweaklyconvergenceoptimizationthreenonsmooth
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abstract

Incremental methods are widely utilized for solving finite-sum optimization problems in machine learning and signal processing. In this paper, we study a family of incremental methods -- including incremental subgradient, incremental proximal point, and incremental prox-linear methods -- for solving weakly convex optimization problems. Such a problem class covers many nonsmooth nonconvex instances that arise in engineering fields. We show that the three said incremental methods have an iteration complexity of $O(\varepsilon^{-4})$ for driving a natural stationarity measure to below $\varepsilon$. Moreover, we show that if the weakly convex function satisfies a sharpness condition, then all three incremental methods, when properly initialized and equipped with geometrically diminishing stepsizes, can achieve a local linear rate of convergence. Our work is the first to extend the convergence rate analysis of incremental methods from the nonsmooth convex regime to the weakly convex regime. Lastly, we conduct numerical experiments on the robust matrix sensing problem to illustrate the convergence performance of the three incremental methods.

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Cited by 2 Pith papers

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Improved Last-Iterate Convergence of Shuffling Gradient Methods for Nonsmooth Convex Optimization

    math.OC 2025-05 accept novelty 7.0 of 10

    For nonsmooth convex finite-sum optimization, random reshuffling and single shuffle achieve last-iterate rates up to n^{1/4} and n^{1/2} faster than proximal gradient descent, with random reshuffling suffix average ma...

  2. A Proximal Variable Smoothing for Minimization of Nonlinearly Composite Nonsmooth Function -- Finite-Max Minimization and MIMO Applications

    math.OC 2025-06 accept novelty 6.0 of 10

    A proximal variable smoothing method with backtracking stepsizes finds stationary points for nonlinearly composite nonsmooth optimization with O(epsilon^-3) iteration complexity.

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