Improved complexities of conditional gradient-type methods with applications to robust matrix recovery problems

• 成果类型: Article
• 署名作者: Garber, Dan; Kaplan, Atara; Sabach, Shoham
• 署名单位: Technion Israel Institute of Technology; Technion Israel Institute of Technology
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-019-01452-6
• 发表日期: 2021
• 页码: 185-208
• 关键词: algorithm

摘要

Motivated by robust matrix recovery problems such as Robust Principal Component Analysis, we consider a general optimization problem of minimizing a smooth and strongly convex loss function applied to the sum of two blocks of variables, where each block of variables is constrained or regularized individually. We study a Conditional Gradient-Type method which is able to leverage the special structure of the problem to obtain faster convergence rates than those attainable via standard methods, under a variety of assumptions. In particular, our method is appealing for matrix problems in which one of the blocks corresponds to a low-rank matrix since it avoids prohibitive full-rank singular value decompositions required by most standard methods. While our initial motivation comes from problems which originated in statistics, our analysis does not impose any statistical assumptions on the data.