This is episode 3 of the three part series that revisits the classical proximal point algorithm. See the first post on the subject for introduction and notation.
In the previous posts, we looked at the proximally guided subgradient method and the prox-linear algorithm. The final example concerns inertial acceleration in convex optimization. Setting the groundwork, consider a -strongly convex function with a -Lipschitz gradient map . Classically, gradient descent will find a point satisfying after at most
iterations. Accelerated gradient methods, beginning with Nesterov (1983), equip the gradient descent method with an inertial correction. Such methods have the much lower complexity guarantee
which is optimal within the first-order oracle model of computation (Nemirovsky and Yudin 1983).
It is natural to ask which other methods, aside from gradient descent, can be “accelerated”. For example, one may wish to accelerate coordinate descent or so-called variance reduced methods for finite sum problems; I will comment on the latter problem class shortly.
One appealing strategy relies on the proximal point method. Güler (1992) showed that the proximal point method itself can be equipped with inertial steps leading to improved convergence guarantees. Building on this work, Lin, Mairal, and Harchaoui (2015; 2017) explained how to derive the total complexity guarantees for an inexact accelerated proximal point method that take into account the cost of applying an arbitrary linearly convergent algorithm to the subproblems. Their Catalyst acceleration framework is summarized below. The code for Catalyst is publicly available here.
Data: , , algorithm
Set , , and
Use to approximately solve:
Compute from the equation
To state the guarantees of this method, suppose that converges on the proximal subproblem in function value at a linear rate . Then a simple termination policy on the subproblems to solve for yields an algorithm with overall complexity
That is, the expression above describes the maximal number of iterations of used by the Catalyst algorithm until it finds a point satisfying . Typically depends on ; therefore the best choice of is the one that minimizes the ratio .
The main motivation for the Catalyst framework, and its most potent application, is the regularized Empirical Risk Minimization (ERM) problem:
Such large-finite sum problems are ubiquitous in machine learning and high-dimensional statistics, where each function typically models a misfit between predicted and observed data while promotes some low dimensional structure on , such as sparsity or low-rank.
Assume that is -strongly convex and each individual is -smooth with -Lipschitz gradient. Since is assumed to be huge, the complexity of numerical methods is best measured in terms of the total number of individual gradient evaluations . In particular, fast gradient methods have the worst-case complexity
since each iteration requires evaluation of all the individual gradients . Variance reduced algorithms, such as SAG (Schmidt, Roux, and Bach 2013), SAGA (Defazio, Bach, and Lacoste-Julien 2014), SDCA (Shalev-Shwartz and Zhang 2012), SMART (Davis 2016), SVRG (Johnson and Zhang 2013; Xiao and Zhang 2014), FINITO (Defazio, Domke, and Caetano 2014), and MISO (Mairal 2015; Lin, Mairal, and Harchaoui 2015), aim to improve the dependence on . In their raw form, all of these methods exhibit a similar complexity
in expectation, and differ only in storage requirements and in whether one needs to know explicitly the strong convexity constant.
It was a long standing open question to determine if the dependence on can be improved. This is not quite possible in full generality, and instead one should expect a rate of the form
Indeed, such a rate would be optimal in an appropriate oracle model of complexity (Woodworth and Srebro 2016; Arjevani 2017; Agarwal and Bottou 2015; Lan 2015). Thus acceleration for ERM problems is only beneficial in the setting .
Early examples for specific algorithms are the accelerated SDCA (Shalev-Shwartz and Zhang 2015), APPA (Frostig et al. 2015), and RPDG (Lan 2015).1 The accelerated SDCA and APPA, in particular, use a specialized proximal-point construction.2 Catalyst generic acceleration allows to accelerate all of the variance reduced methods above in a single conceptually transparent framework. It is worth noting that the first direct accelerated variance reduced methods for ERM problems were recently proposed in Allen-Zhu (2016) and Defazio (2016).
In contrast to the convex setting, the role of inertia for nonconvex problems is not nearly as well understood. In particular, gradient descent is black-box optimal for -smooth nonconvex minimization (Carmon et al. 2017b), and therefore inertia can not help in the worst case. On the other hand, the recent paper (Carmon et al. 2017a) presents a first-order method for minimizing and smooth functions that is provably faster than gradient descent. At its core, their algorithm also combines inertia with the proximal point method. For a partial extension of the Catalyst framework to weakly convex problems, see Paquette et al. (2017).
The proximal point method has long been ingrained in the foundations of optimization. Recent progress in large scale computing has shown that the proximal point method is not only conceptual, but can guide methodology. Though direct methods are usually preferable, proximally guided algorithms can be equally effective and often lead to more easily interpretable numerical methods. In this blog, I outlined three examples of this viewpoint, where the proximal-point method guides both the design and analysis of numerical methods.
The author thanks Damek Davis, John Duchi, and Zaid Harchaoui for their helpful comments on an early draft.
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