Difference of convex (DC) functions cover a broad family of non-convex and possibly non-smooth and non-differentiable functions, and have wide applications in machine learning and statistics. Although deterministic algorithms for DC functions have been extensively studied, stochastic optimization that is more suitable for learning with big data remains under-explored. In this paper, we propose new stochastic optimization algorithms and study their first-order convergence theories for solving a broad family of DC functions. We improve the existing algorithms and theories of stochastic optimization for DC functions from both practical and theoretical perspectives. Moreover, we extend the proposed stochastic algorithms for DC functions to solve problems with a general non-convex non-differentiable regularizer, which does not necessarily have a DC decomposition but enjoys an efficient proximal mapping. To the best of our knowledge, this is the first work that gives the first non-asymptotic convergence for solving non-convex optimization whose objective has a general non-convex non-differentiable regularizer.
Author Information
Yi Xu (The University of Iowa)
Qi Qi (The University of Iowa)
Qihang Lin (Univ Iowa)
rong jin (alibaba group)
Tianbao Yang (The University of Iowa)
Related Events (a corresponding poster, oral, or spotlight)
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2019 Oral: Stochastic Optimization for DC Functions and Non-smooth Non-convex Regularizers with Non-asymptotic Convergence »
Wed Jun 12th 03:10 -- 03:15 PM Room Room 104
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