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• W2767752488 abstract "Two classes of methods have been proposed for escaping from saddle points with one using the second-order information carried by the Hessian and the other adding the noise into the first-order information. The existing analysis for algorithms using noise in the first-order information is quite involved and hides the essence of added noise, which hinder further improvements of these algorithms. In this paper, we present a novel perspective of noise-adding technique, i.e., adding the noise into the first-order information can help extract the negative curvature from the Hessian matrix, and provide a formal reasoning of this perspective by analyzing a simple first-order procedure. More importantly, the proposed procedure enables one to design purely first-order stochastic algorithms for escaping from non-degenerate saddle points with a much better time complexity (almost linear time in terms of the problem's dimensionality). In particular, we develop a {bf first-order stochastic algorithm} based on our new technique and an existing algorithm that only converges to a first-order stationary point to enjoy a time complexity of {$widetilde O(d/epsilon^{3.5})$ for finding a nearly second-order stationary point $bf{x}$ such that $|nabla F(bf{x})|leq epsilon$ and $nabla^2 F(bf{x})geq -sqrt{epsilon}I$ (in high probability), where $F(cdot)$ denotes the objective function and $d$ is the dimensionality of the problem. To the best of our knowledge, this is the best theoretical result of first-order algorithms for stochastic non-convex optimization, which is even competitive with if not better than existing stochastic algorithms hinging on the second-order information." @default.
• W2767752488 created "2017-11-17" @default.
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• W2767752488 date "2017-11-03" @default.
• W2767752488 modified "2023-09-27" @default.
• W2767752488 title "First-order Stochastic Algorithms for Escaping From Saddle Points in Almost Linear Time" @default.
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