Katyusha X: Simple Momentum Method for Stochastic Sum-of-Nonconvex Optimization

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Zeyuan Allen-Zhu ;
Proceedings of the 35th International Conference on Machine Learning, PMLR 80:179-185, 2018.

Abstract

The problem of minimizing sum-of-nonconvex functions (i.e., convex functions that are average of non-convex ones) is becoming increasing important in machine learning, and is the core machinery for PCA, SVD, regularized Newton’s method, accelerated non-convex optimization, and more. We show how to provably obtain an accelerated stochastic algorithm for minimizing sum-of-nonconvex functions, by adding one additional line to the well-known SVRG method. This line corresponds to momentum, and shows how to directly apply momentum to the finite-sum stochastic minimization of sum-of-nonconvex functions. As a side result, our method enjoys linear parallel speed-up using mini-batch.

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