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On Quadratic Convergence of DC Proximal Newton Algorithm in Nonconvex Sparse Learning

Part of: Advances in Neural Information Processing Systems 30 (NIPS 2017) pre-proceedings

Pre-Proceedings

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Authors

Conference Event Type: Poster

Abstract

We propose a DC proximal Newton algorithm for solving nonconvex regularized sparse learning problems in high dimensions. Our proposed algorithm integrates the proximal newton algorithm with multi-stage convex relaxation based on difference of convex (DC) programming, and enjoys both strong computational and statistical guarantees. Specifically, by leveraging a sophisticated characterization of sparse modeling structures (i.e., local restricted strong convexity and Hessian smoothness), we prove that within each stage of convex relaxation, our proposed algorithm achieves (local) quadratic convergence, and eventually obtains a sparse approximate local optimum with optimal statistical properties after only a few convex relaxations. Numerical experiments are provided to support our theory.