Matrix completion is a basic machine learning problem that has wide applications, especiallyin collaborative filtering and recommender systems. Simple non-convex optimization algorithms are popular and effective in practice. Despite recent progress in proving various non-convex algorithms converge from a good initial point, it remains unclear why random or arbitrary initialization suffices in practice. We prove that the commonly used non-convex objective function for positive semidefinite matrix completion has no spurious local minima - all local minima must also be global. Therefore, many popular optimization algorithms such as (stochastic) gradient descent can provably solve positive semidefinite matrix completion with arbitrary initialization in polynomial time. The result can be generalized to the setting when the observed entries contain noise. We believe that our main proof strategy can be useful for understanding geometric properties of other statistical problems involving partial or noisy observations.

The question of how to parallelize the stochastic gradient descent (SGD) method has received much attention in the literature. In this paper, we focus instead on batch methods that use a sizeable fraction of the training set at each iteration to facilitate parallelism, and that employ second-order information. In order to improve the learning process, we follow a multi-batch approach in which the batch changes at each iteration. This can cause difficulties because L-BFGS employs gradient differences to update the Hessian approximations, and when these gradients are computed using different data points the process can be unstable. This paper shows how to perform stable quasi-Newton updating in the multi-batch setting, illustrates the behavior of the algorithm in a distributed computing platform, and studies its convergence properties for both the convex and nonconvex cases.

This work is motivated by the engineering task of achieving a near state-of-the-art face recognition on a minimal computing budget running on an embedded system. Our main technical contribution centers around a novel training method, called Multibatch, for similarity learning, i.e., for the task of generating an invariant ``face signature'' through training pairs of ``same'' and ``not-same'' face images. The Multibatch method first generates signatures for a mini-batch of $k$ face images and then constructs an unbiased estimate of the full gradient by relying on all $k^2-k$ pairs from the mini-batch. We prove that the variance of the Multibatch estimator is bounded by $O(1/k^2)$, under some mild conditions. In contrast, the standard gradient estimator that relies on random $k/2$ pairs has a variance of order $1/k$. The smaller variance of the Multibatch estimator significantly speeds up the convergence rate of stochastic gradient descent. Using the Multibatch method we train a deep convolutional neural network that achieves an accuracy of $98.2\%$ on the LFW benchmark, while its prediction runtime takes only $30$msec on a single ARM Cortex A9 core. Furthermore, the entire training process took only 12 hours on a single Titan X GPU.

We propose a stochastic optimization method for the minimization of the sum of three convex functions, one of which has Lipschitz continuous gradient as well as restricted strong convexity. Our approach is most suitable in the setting where it is computationally advantageous to process smooth term in the decomposition with its stochastic gradient estimate and the other two functions separately with their proximal operators, such as doubly regularized empirical risk minimization problems. We prove the convergence characterization of the proposed algorithm in expectation under the standard assumptions for the stochastic gradient estimate of the smooth term. Our method operates in the primal space and can be considered as a stochastic extension of the three-operator splitting method. Finally, numerical evidence supports the effectiveness of our method in real-world problems.

Solving statistical learning problems often involves nonconvex optimization. Despite the empirical success of nonconvex statistical optimization methods, their global dynamics, especially convergence to the desirable local minima, remain less well understood in theory. In this paper, we propose a new analytic paradigm based on diffusion processes to characterize the global dynamics of nonconvex statistical optimization. As a concrete example, we study stochastic gradient descent (SGD) for the tensor decomposition formulation of independent component analysis. In particular, we cast different phases of SGD into diffusion processes, i.e., solutions to stochastic differential equations. Initialized from an unstable equilibrium, the global dynamics of SGD transit over three consecutive phases: (i) an unstable Ornstein-Uhlenbeck process slowly departing from the initialization, (ii) the solution to an ordinary differential equation, which quickly evolves towards the desirable local minimum, and (iii) a stable Ornstein-Uhlenbeck process oscillating around the desirable local minimum. Our proof techniques are based upon Stroock and Varadhan’s weak convergence of Markov chains to diffusion processes, which are of independent interest.

In this paper, we consider a non-convex loss-minimization problem of learning Supervised PageRank models, which can account for features of nodes and edges. We propose gradient-based and random gradient-free methods to solve this problem. Our algorithms are based on the concept of an inexact oracle and unlike the state-of-the-art gradient-based method we manage to provide theoretically the convergence rate guarantees for both of them. Finally, we compare the performance of the proposed optimization methods with the state of the art applied to a ranking task.

We analyze the learning properties of the stochastic gradient method when multiple passes over the data and mini-batches are allowed. In particular, we consider the square loss and show that for a universal step-size choice, the number of passes acts as a regularization parameter, and optimal finite sample bounds can be achieved by early-stopping. Moreover, we show that larger step-sizes are allowed when considering mini-batches. Our analysis is based on a unifying approach, encompassing both batch and stochastic gradient methods as special cases.

Matrix completion, where we wish to recover a low rank matrix by observing a few entries from it, is a widely studied problem in both theory and practice with wide applications. Most of the provable algorithms so far on this problem have been restricted to the offline setting where they provide an estimate of the unknown matrix using all observations simultaneously. However, in many applications, the online version, where we observe one entry at a time and dynamically update our estimate, is more appealing. While existing algorithms are efficient for the offline setting, they could be highly inefficient for the online setting. In this paper, we propose the first provable, efficient online algorithm for matrix completion. Our algorithm starts from an initial estimate of the matrix and then performs non-convex stochastic gradient descent (SGD). After every observation, it performs a fast update involving only one row of two tall matrices, giving near linear total runtime. Our algorithm can be naturally used in the offline setting as well, where it gives competitive sample complexity and runtime to state of the art algorithms. Our proofs introduce a general framework to show that SGD updates tend to stay away from saddle surfaces and could be of broader interests to other non-convex problems.

We consider the problem of Robust PCA in the fully and partially observed settings. Without corruptions, this is the well-known matrix completion problem. From a statistical standpoint this problem has been recently well-studied, and conditions on when recovery is possible (how many observations do we need, how many corruptions can we tolerate) via polynomial-time algorithms is by now understood. This paper presents and analyzes a non-convex optimization approach that greatly reduces the computational complexity of the above problems, compared to the best available algorithms. In particular, in the fully observed case, with $r$ denoting rank and $d$ dimension, we reduce the complexity from $O(r^2d^2\log(1/\epsilon))$ to $O(rd^2\log(1/\epsilon))$ -- a big savings when the rank is big. For the partially observed case, we show the complexity of our algorithm is no more than $O(r^4d\log(d)\log(1/\epsilon))$. Not only is this the best-known run-time for a provable algorithm under partial observation, but in the setting where $r$ is small compared to $d$, it also allows for near-linear-in-$d$ run-time that can be exploited in the fully-observed case as well, by simply running our algorithm on a subset of the observations.

We consider the problem of building continuous occupancy representations in dynamic environments for robotics applications. The problem has hardly been discussed previously due to the complexity of patterns in urban environments, which have both spatial and temporal dependencies. We address the problem as learning a kernel classifier on an efficient feature space. The key novelty of our approach is the incorporation of variations in the time domain into the spatial domain. We propose a method to propagate motion uncertainty into the kernel using a hierarchical model. The main benefit of this approach is that it can directly predict the occupancy state of the map in the future from past observations, being a valuable tool for robot trajectory planning under uncertainty. Our approach preserves the main computational benefits of static Hilbert maps -- using stochastic gradient descent for fast optimization of model parameters and incremental updates as new data are captured. Experiments conducted in road intersections of an urban environment demonstrated that spatiotemporal Hilbert maps can accurately model changes in the map while outperforming other techniques on various aspects.