- SPIDER: Near-Optimal Non-Convex Optimization via Stochastic Path Integrated Differential Estimator Cong Fang (fangcongpku.edu.cn) Chris Junchi Li (junchi.li.dukegmail.com) Zhouchen Lin (zlinpku.edu.cn) Tong Zhang (tongzhangtongzhang-ml.org) Abstract: In this paper, we propose a new technique named \textit{Stochastic Path-Integrated Differential EstimatoR} (SPIDER), which can be used to track many deterministic quantities of interest with significantly reduced computational cost. We apply SPIDER to two tasks, namely the stochastic first-order and zeroth-order methods. For stochastic first-order method, combining SPIDER with normalized gradient descent, we propose two new algorithms, namely SPIDER-SFO and SPIDER-SFO\textsuperscript{+}, that solve non-convex stochastic optimization problems using stochastic gradients only. We provide sharp error-bound results on their convergence rates. In special, we prove that the SPIDER-SFO and SPIDER-SFO\textsuperscript{+} algorithms achieve a record-breaking gradient computation cost of $\mathcal{O}\left( \min( n^{1/2} \epsilon^{-2}, \epsilon^{-3} ) \right)$ for finding an $\epsilon$-approximate first-order and $\tilde{\mathcal{O}}\left( \min( n^{1/2} \epsilon^{-2}+\epsilon^{-2.5}, \epsilon^{-3} ) \right)$ for finding an $(\epsilon, \mathcal{O}(\epsilon^{0.5}))$-approximate second-order stationary point, respectively. In addition, we prove that SPIDER-SFO nearly matches the algorithmic lower bound for finding approximate first-order stationary points under the gradient Lipschitz assumption in the finite-sum setting. For stochastic zeroth-order method, we prove a cost of $\mathcal{O}( d \min( n^{1/2} \epsilon^{-2}, \epsilon^{-3}) )$ which outperforms all existing results. Keywords: non-convex optimization, first-order stationary point, second-order stationary point, gradient descent, zeroth-order optimization, variance reduction Category 1: Stochastic Programming Category 2: Nonlinear Optimization Citation: Download: [PDF]Entry Submitted: 07/04/2018Entry Accepted: 07/05/2018Entry Last Modified: 10/18/2018Modify/Update this entry Visitors Authors More about us Links Subscribe, Unsubscribe Digest Archive Search, Browse the Repository Submit Update Policies Coordinator's Board Classification Scheme Credits Give us feedback Optimization Journals, Sites, Societies Optimization Online is supported by the Mathematical Optmization Society.