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Oral
Faster Stochastic Alternating Direction Method of Multipliers for Nonconvex Optimization
Feihu Huang · Songcan Chen · Heng Huang

Tue Jun 11 11:25 AM -- 11:30 AM (PDT) @ Room 104
In this paper, we propose a faster stochastic alternating direction method of multipliers (ADMM) for nonconvex optimization by using a new stochastic path-integrated differential estimator (SPIDER), called as SPIDER-ADMM. As a major contribution, we give a new theoretical analysis framework for nonconvex stochastic ADMM methods with providing the optimal incremental first-order oracle (IFO) complexity. Specifically, we prove that our SPIDER-ADMM achieves a record-breaking IFO complexity of $\mathcal{O}(n+n^{1/2}\epsilon^{-1})$ for finding an $\epsilon$-approximate solution, which improves the deterministic ADMM by a factor $\mathcal{O}(n^{1/2})$, where $n$ denotes the sample size. Based on our new analysis framework, we also prove that the existing ADMM-based non-convex optimization algorithms, SVRG-ADMM and SAGA-ADMM, have the optimal IFO complexity as $\mathcal{O}(n+n^{2/3}\epsilon^{-1})$. Thus, SPIDER-ADMM improves the existing stochastic ADMM methods by a factor of $\mathcal{O}(n^{1/6})$. Moreover, we extend SPIDER-ADMM to the online setting, and propose a faster online ADMM, \emph{i.e.}, online SPIDER-ADMM. Our theoretical analysis shows that the online SPIDER-ADMM has the IFO complexity of $\mathcal{O}(\epsilon^{-\frac{3}{2}})$ for finding an $\epsilon$-approximate solution, which improves the existing best results by a factor of $\mathcal{O}(\epsilon^{\frac{1}{2}})$. Finally, the experimental results on benchmark datasets validate that the proposed algorithms have faster convergence rate than the existing ADMM algorithms for nonconvex optimization.

2018 IAPR Fellow