Exterior-point Optimization for Sparse and Low-rank Optimization
Abstract
Many problems of substantial current interest in machine learning, statistics, and data science can be formulated as sparse and low-rank optimization problems. In this paper, we present the nonconvex exterior-point optimization solver NExOS -- a first-order algorithm tailored to sparse and low-rank optimization problems. We consider the problem of minimizing a convex function over a nonconvex constraint set, where the set can be decomposed as the intersection of a compact convex set and a nonconvex set involving sparse or low-rank constraints. Unlike the convex relaxation approaches, NExOS finds a locally optimal point of the original problem by solving a sequence of penalized problems with strictly decreasing penalty parameters by exploiting the nonconvex geometry. NExOS solves each penalized problem by applying a first-order algorithm, which converges linearly to a local minimum of the corresponding penalized formulation under regularity conditions. Furthermore, the local minima of the penalized problems converge to a local minimum of the original problem as the penalty parameter goes to zero. We then implement and test NExOS on many instances from a wide variety of sparse and low-rank optimization problems, empirically demonstrating that our algorithm outperforms specialized methods.
Cite
@article{arxiv.2011.04552,
title = {Exterior-point Optimization for Sparse and Low-rank Optimization},
author = {Shuvomoy Das Gupta and Bartolomeo Stellato and Bart P. G. Van Parys},
journal= {arXiv preprint arXiv:2011.04552},
year = {2024}
}
Comments
Accepted for publication in the Journal of Optimization Theory and Applications