active strict saddle
Stochastic Subgradient Descent on a Generic Definable Function Converges to a Minimizer
It was previously shown by Davis and Drusvyatskiy that every Clarke critical point of a generic, semialgebraic (and more generally definable in an o-minimal structure), weakly convex function is lying on an active manifold and is either a local minimum or an active strict saddle. In the first part of this work, we show that when the weak convexity assumption fails a third type of point appears: a sharply repulsive critical point. Moreover, we show that the corresponding active manifolds satisfy the Verdier and the angle conditions which were introduced by us in our previous work. In the second part of this work, we show that, under a density-like assumption on the perturbation sequence, the stochastic subgradient descent (SGD) avoids sharply repulsive critical points with probability one. We show that such a density-like assumption could be obtained upon adding a small random perturbation (e.g. a nondegenerate Gaussian) at each iteration of the algorithm. These results, combined with our previous work on the avoidance of active strict saddles, show that the SGD on a generic definable (e.g. semialgebraic) function converges to a local minimum.
Stochastic Subgradient Descent Escapes Active Strict Saddles
Bianchi, Pascal, Hachem, Walid, Schechtman, Sholom
In non-smooth stochastic optimization, we establish the non-convergence of the stochastic subgradient descent (SGD) to the critical points recently called active strict saddles by Davis and Drusvyatskiy. Such points lie on a manifold $M$ where the function $f$ has a direction of second-order negative curvature. Off this manifold, the norm of the Clarke subdifferential of $f$ is lower-bounded. We require two conditions on $f$. The first assumption is a Verdier stratification condition, which is a refinement of the popular Whitney stratification. It allows us to establish a reinforced version of the projection formula of Bolte \emph{et.al.} for Whitney stratifiable functions, and which is of independent interest. The second assumption, termed the angle condition, allows to control the distance of the iterates to $M$. When $f$ is weakly convex, our assumptions are generic. Consequently, generically in the class of definable weakly convex functions, the SGD converges to a local minimizer.