This paper delivers improved theoretical guarantees for the convex programming approach in low-rank matrix estimation, in the presence of (1) random noise, (2) gross sparse outliers, and (3) missing data. This problem, often dubbed as robust principal component analysis (robust PCA), finds applications in various domains. Despite the wide applicability of convex relaxation, the available statistical support (particularly the stability analysis vis-à-vis random noise) remains highly suboptimal, which we strengthen in this paper. When the unknown matrix is well-conditioned, incoherent, and of constant rank, we demonstrate that a principled convex program achieves near-optimal statistical accuracy, in terms of both the Euclidean loss and the $\ell_{\infty}$ loss. All of this happens even when nearly a constant fraction of observations are corrupted by outliers with arbitrary magnitudes. The key analysis idea lies in bridging the convex program in use and an auxiliary nonconvex optimization algorithm, and hence the title of this paper.
This work studies low-rank approximation of a positive semidefinite matrix from partial entries via nonconvex optimization. We characterized how well local-minimum based low-rank factorization approximates a fixed positive semidefinite matrix without any assumptions on the rank-matching, the condition number or eigenspace incoherence parameter. Furthermore, under certain assumptions on rank-matching and well-boundedness of condition numbers and eigenspace incoherence parameters, a corollary of our main theorem improves the state-of-the-art sampling rate results for nonconvex matrix completion …
Sparse principal component analysis (PCA) involves nonconvex optimization for which the global solution is hard to obtain. To address this issue, one popular approach is convex relaxation. However, such an approach may produce suboptimal estimators due to the relaxation effect. To optimally estimate sparse principal subspaces, we propose a two-stage computational framework named "tighten after relax": Within the 'relax' stage, we approximately solve a convex relaxation of sparse PCA with early stopping to obtain a desired initial estimator; For the 'tighten' stage, we propose a novel algorithm…
In the past decade, sparse and low-rank recovery have drawn much attention in many areas such as signal/image processing, statistics, bioinformatics and machine learning. To achieve sparsity and/or low-rankness inducing, the $\ell_1$ norm and nuclear norm are of the most popular regularization penalties due to their convexity. While the $\ell_1$ and nuclear norm are convenient as the related convex optimization problems are usually tractable, it has been shown in many applications that a nonconvex penalty can yield significantly better performance. In recent, nonconvex regularization based spa…
The Chinese University of Hong Kong（香港中文大学）；University of California, Davis（加利福尼亚大学戴维斯分校）；The Pennsylvania State University（宾夕法尼亚州立大学）；University of Minnesota（明尼苏达大学）
Sparse principal component analysis (PCA) and sparse canonical correlation analysis (CCA) are two essential techniques from high-dimensional statistics and machine learning for analyzing large-scale data. Both problems can be formulated as an optimization problem with nonsmooth objective and nonconvex constraints. Since non-smoothness and nonconvexity bring numerical difficulties, most algorithms suggested in the literature either solve some relaxations or are heuristic and lack convergence guarantees. In this paper, we propose a new alternating manifold proximal gradient method to solve these…
Duke University（杜克大学）；University of California, Berkeley（加州大学伯克利分校）
In this paper we develop a new framework that captures the common landscape underlying the common non-convex low-rank matrix problems including matrix sensing, matrix completion and robust PCA. In particular, we show for all above problems (including asymmetric cases): 1) all local minima are also globally optimal; 2) no high-order saddle points exists. These results explain why simple algorithms such as stochastic gradient descent have global converge, and efficiently optimize these non-convex objective functions in practice. Our framework connects and simplifies the existing analyses on opti…
University of California, Irvine（加利福尼亚大学欧文分校）；Duke University（杜克大学）；Google Research（谷歌研究院）
Developing efficient and guaranteed nonconvex algorithms has been an important challenge in modern machine learning. Algorithms with good empirical performance such as stochastic gradient descent often lack theoretical guarantees. In this paper, we analyze the class of homotopy or continuation methods for global optimization of nonconvex functions. These methods start from an objective function that is efficient to optimize (e.g. convex), and progressively modify it to obtain the required objective, and the solutions are passed along the homotopy path. For the challenging problem of tensor PCA…
The problem of minimizing sum-of-nonconvex functions (i.e., convex functions that are average of non-convex ones) is becoming increasingly important in machine learning, and is the core machinery for PCA, SVD, regularized Newton's method, accelerated non-convex optimization, and more. We show how to provably obtain an accelerated stochastic algorithm for minimizing sum-of-nonconvex functions, by $\textit{adding one additional line}$ to the well-known SVRG method. This line corresponds to momentum, and shows how to directly apply momentum to the finite-sum stochastic minimization of sum-of-nonc…
Technion - Israel Institute of Technology（以色列理工学院）
In this paper we focus on the problem of Online Principal Component Analysis in the regret minimization framework. For this problem, all existing regret minimization algorithms for the fully-adversarial setting are based on a positive semidefinite convex relaxation, and hence require quadratic memory and SVD computation (either thin of full) on each iteration, which amounts to at least quadratic runtime per iteration. This is in stark contrast to a corresponding stochastic i.i.d. variant of the problem, which was studied extensively lately, and admits very efficient gradient ascent algorithms …
This paper studies noisy low-rank matrix completion: given partial and noisy entries of a large low-rank matrix, the goal is to estimate the underlying matrix faithfully and efficiently. Arguably one of the most popular paradigms to tackle this problem is convex relaxation, which achieves remarkable efficacy in practice. However, the theoretical support of this approach is still far from optimal in the noisy setting, falling short of explaining its empirical success. We make progress towards demystifying the practical efficacy of convex relaxation vis-à-vis random noise. When the rank and the …
Technion - Israel Institute of Technology（以色列理工学院）
We consider optimization problems in which the goal is find a $k$-dimensional subspace of $\mathbb{R}^n$, $k<<n$, which minimizes a convex and smooth loss. Such problems generalize the fundamental task of principal component analysis (PCA) to include robust and sparse counterparts, and logistic PCA for binary data, among others. This problem could be approached either via nonconvex gradient methods with highly-efficient iterations, but for which arguing about fast convergence to a global minimizer is difficult or, via a convex relaxation for which arguing about convergence to a global minimize…
Robust PCA is a widely used statistical procedure to recover a underlying low-rank matrix with grossly corrupted observations. This work considers the problem of robust PCA as a nonconvex optimization problem on the manifold of low-rank matrices, and proposes two algorithms (for two versions of retractions) based on manifold optimization. It is shown that, with a proper designed initialization, the proposed algorithms are guaranteed to converge to the underlying low-rank matrix linearly. Compared with a previous work based on the Burer-Monterio decomposition of low-rank matrices, the proposed …
University of California, Davis（加利福尼亚大学戴维斯分校）；Penn State（宾夕法尼亚州立大学）
Robust PCA has drawn significant attention in the last decade due to its success in numerous application domains, ranging from bio-informatics, statistics, and machine learning to image and video processing in computer vision. Robust PCA and its variants such as sparse PCA and stable PCA can be formulated as optimization problems with exploitable special structures. Many specialized efficient optimization methods have been proposed to solve robust PCA and related problems. In this paper we review existing optimization methods for solving convex and nonconvex relaxations/variants of robust PCA,…
Inference for Heteroskedastic PCA with Missing Data
Institute for Data, Systems, and Society, MIT（麻省理工学院数据、系统与社会研究所）；Wharton School, University of Pennsylvania（宾夕法尼亚大学沃顿商学院）；Department of Operations Research and Financial Engineering, Princeton University（普林斯顿大学运筹学与金融工程系）
Principal component analysis (PCA) is a classical and ubiquitous method for reducing data dimensionality, but it is suboptimal for heterogeneous data that are increasingly common in modern applications. PCA treats all samples uniformly so degrades when the noise is heteroscedastic across samples, as occurs, e.g., when samples come from sources of heterogeneous quality. This paper develops a probabilistic PCA variant that estimates and accounts for this heterogeneity by incorporating it in the statistical model. Unlike in the homoscedastic setting, the resulting nonconvex optimization problem i…
Principal component analysis (PCA) has been a prominent tool for high-dimensional data analysis. Online algorithms that estimate the principal component by processing streaming data are of tremendous practical and theoretical interests. Despite its rich applications, theoretical convergence analysis remains largely open. In this paper, we cast online PCA into a stochastic nonconvex optimization problem, and we analyze the online PCA algorithm as a stochastic approximation iteration. The stochastic approximation iteration processes data points incrementally and maintains a running estimate of t…
Langevin dynamics for high-dimensional optimization: the case of multi-spiked tensor PCA
Courant Institute of Mathematical Sciences, New York University（纽约大学柯朗数学科学研究所）；Unité de Mathématiques Pures et Appliquées (UMPA), ENS Lyon（里昂高等师范学院纯数学与应用数学研究所）
StablePCA: Distributionally Robust Learning of Shared Representations from Multi-Source Data
Rutgers University（罗杰斯大学）；Peking University Health Science Center（北京大学医学部）；Beijing International Center for Mathematical Research（北京国际数学研究中心）；Inria École Normale Supérieure PSL Research University（Inria 常规大学）；Zhejiang University（浙江大学）
University of Wisconsin-Madison（威斯康星大学麦迪逊分校）；University of Southern California（南加利福尼亚大学）
Dynamic inner principal component analysis (DiPCA) is a powerful method for the analysis of time-dependent multivariate data. DiPCA extracts dynamic latent variables that capture the most dominant temporal trends by solving a large-scale, dense, and nonconvex nonlinear program (NLP). A scalable decomposition algorithm has been recently proposed in the literature to solve these challenging NLPs. The decomposition algorithm performs well in practice but its convergence properties are not well understood. In this work, we show that this algorithm is a specialized variant of a coordinate maximizat…
University of Texas at Arlington（德克萨斯大学阿灵顿分校）；University of California, Los Angeles（加州大学洛杉矶分校）
Robust Principal Component Analysis (PCA) has received massive attention in recent years. It aims to recover a low-rank matrix and a sparse matrix from their sum. This paper proposes a novel nonconvex Robust PCA algorithm, coined Riemannian CUR (RieCUR), which utilizes the ideas of Riemannian optimization and robust CUR decompositions. This algorithm has the same computational complexity as Iterated Robust CUR, which is currently state-of-the-art, but is more robust to outliers. RieCUR is also able to tolerate a significant amount of outliers, and is comparable to Accelerated Alternating Proje…
Principal Component Analysis (PCA) is one of the most important methods to handle high dimensional data. However, most of the studies on PCA aim to minimize the loss after projection, which usually measures the Euclidean distance, though in some fields, angle distance is known to be more important and critical for analysis. In this paper, we propose a method by adding constraints on factors to unify the Euclidean distance and angle distance. However, due to the nonconvexity of the objective and constraints, the optimized solution is not easy to obtain. We propose an alternating linearized mini…
Shanghai University of Finance and Economics（上海财经大学）；UC Berkeley（加州大学伯克利分校）；UC Davis（加州大学戴维斯分校）；University of Minnesota（明尼苏达大学）
Nonconvex and nonsmooth optimization problems are frequently encountered in much of statistics, business, science and engineering, but they are not yet widely recognized as a technology in the sense of scalability. A reason for this relatively low degree of popularity is the lack of a well developed system of theory and algorithms to support the applications, as is the case for its convex counterpart. This paper aims to take one step in the direction of disciplined nonconvex and nonsmooth optimization. In particular, we consider in this paper some constrained nonconvex optimization models in b…
John A. Paulson School of Engineering and Applied Sciences, Harvard University（哈佛大学约翰·A·保尔森工程与应用科学学院）；Department of Mathematics, Duke University（杜克大学数学系）
We present a framework for analyzing the exact dynamics of a class of online learning algorithms in the high-dimensional scaling limit. Our results are applied to two concrete examples: online regularized linear regression and principal component analysis. As the ambient dimension tends to infinity, and with proper time scaling, we show that the time-varying joint empirical measures of the target feature vector and its estimates provided by the algorithms will converge weakly to a deterministic measured-valued process that can be characterized as the unique solution of a nonlinear PDE. Numeric…
Optimization problems with rank constraints arise in many applications, including matrix regression, structured PCA, matrix completion and matrix decomposition problems. An attractive heuristic for solving such problems is to factorize the low-rank matrix, and to run projected gradient descent on the nonconvex factorized optimization problem. The goal of this problem is to provide a general theoretical framework for understanding when such methods work well, and to characterize the nature of the resulting fixed point. We provide a simple set of conditions under which projected gradient descent…
sparseGeoHOPCA: A Geometric Solution to Sparse Higher-Order PCA Without Covariance Estimation
Department of Electrical Engineering and Centre for Intelligent Multidimensional Data Analysis（电气工程系和智能多维数据分析中心）；City University of Hong Kong（香港城市大学）；State Key Laboratory of Public Big Data（公共大数据国家重点实验室）；School of Mathematics and Statistics（数学与统计学学院）；School of Mathematics（数学学院）
Harbin Institute of Technology（哈尔滨工业大学）；Sensetime Group Limited（商汤集团有限公司）；Georgia Tech（佐治亚理工学院）
Asynchronous momentum stochastic gradient descent algorithms (Async-MSGD) is one of the most popular algorithms in distributed machine learning. However, its convergence properties for these complicated nonconvex problems is still largely unknown, because of the current technical limit. Therefore, in this paper, we propose to analyze the algorithm through a simpler but nontrivial nonconvex problem - streaming PCA, which helps us to understand Aync-MSGD better even for more general problems. Specifically, we establish the asymptotic rate of convergence of Async-MSGD for streaming PCA by diffusi…
We propose an L-BFGS optimization algorithm on Riemannian manifolds using minibatched stochastic variance reduction techniques for fast convergence with constant step sizes, without resorting to linesearch methods designed to satisfy Wolfe conditions. We provide a new convergence proof for strongly convex functions without using curvature conditions on the manifold, as well as a convergence discussion for nonconvex functions. We discuss a couple of ways to obtain the correction pairs used to calculate the product of the gradient with the inverse Hessian, and empirically demonstrate their use i…
University of Chicago（芝加哥大学）；Toyota Technological Institute at Chicago（芝加哥丰田工业研究所）
We study the stochastic optimization of canonical correlation analysis (CCA), whose objective is nonconvex and does not decouple over training samples. Although several stochastic gradient based optimization algorithms have been recently proposed to solve this problem, no global convergence guarantee was provided by any of them. Inspired by the alternating least squares/power iterations formulation of CCA, and the shift-and-invert preconditioning method for PCA, we propose two globally convergent meta-algorithms for CCA, both of which transform the original problem into sequences of least squa…
Stochastic optimization naturally arises in machine learning. Efficient algorithms with provable guarantees, however, are still largely missing, when the objective function is nonconvex and the data points are dependent. This paper studies this fundamental challenge through a streaming PCA problem for stationary time series data. Specifically, our goal is to estimate the principle component of time series data with respect to the covariance matrix of the stationary distribution. Computationally, we propose a variant of Oja's algorithm combined with downsampling to control the bias of the stoch…
In this paper we study nonconvex and nonsmooth multi-block optimization over Riemannian manifolds with coupled linear constraints. Such optimization problems naturally arise from machine learning, statistical learning, compressive sensing, image processing, and tensor PCA, among others. We develop an ADMM-like primal-dual approach based on decoupled solvable subroutines such as linearized proximal mappings. First, we introduce the optimality conditions for the afore-mentioned optimization models. Then, the notion of $ε$-stationary solutions is introduced as a result. The main part of the paper…
TabSOM: A tabular-to-image encoding method based on self-organizing maps
Rey Juan Carlos University (URJC)（雷胡安·卡洛斯大学）；Universidad Francisco de Vitoria（弗朗西斯科·德·维多利亚大学）；University of Castilla-La Mancha（卡斯蒂利亚-拉曼恰大学）；Yachay Tech University（亚奇理工大学）
Institute of Physics（物理研究所）；University of Amsterdam（阿姆斯特丹大学）；Amsterdam Machine Learning Lab（阿姆斯特丹机器学习实验室）；CNRS（法国国家科学研究中心）；Institute for Mathematics（数学研究所）；Academia Sinica（中央研究院）；Korteweg-de Vries Institute for Mathematics（科特韦格-德弗里斯数学研究所）
