Zeroth-order (gradient-free) method is a class of powerful optimization tool for many machine learning problems because it only needs function values (not gradient) in the optimization. In particular, zeroth-order method is very suitable for many complex problems such as black-box attacks and bandit feedback, whose explicit gradients are difficult or infeasible to obtain. Recently, although many zeroth-order methods have been developed, these approaches still exist two main drawbacks: 1) high function query complexity; 2) not being well suitable for solving the problems with complex penalties and constraints. To address these challenging drawbacks, in this paper, we propose a novel fast zeroth-order stochastic alternating direction method of multipliers (ADMM) method (, ZO-SPIDER-ADMM) with lower function query complexity for solving nonconvex problems with multiple nonsmooth penalties. Moreover, we prove that our ZO-SPIDER-ADMM has the optimal function query complexity of @math for finding an @math -approximate local solution, where @math and @math denote the sample size and dimension of data, respectively. In particular, the ZO-SPIDER-ADMM improves the existing best nonconvex zeroth-order ADMM methods by a factor of @math . Moreover, we propose a fast online ZO-SPIDER-ADMM ( ZOO-SPIDER-ADMM). Our theoretical analysis shows that the ZOO-SPIDER-ADMM has the function query complexity of @math , which improves the existing best result by a factor of @math . Finally, we utilize a task of structured adversarial attack on black-box deep neural networks to demonstrate the efficiency of our algorithms.
For variational problems of the form Infv∈V f(Av)+g(v) , we propose a dual method which decouples the difficulties relative to the functionals f and g from the possible ill-conditioning effects of the linear operator A. The approach is based on the use of an Augmented Lagrangian functional and leads to an efficient and simply implementable algorithm. We study also the finite element approximation of such problems, compatible with the use of our algorithm. The method is finally applied to solve several problems of continuum mechanics. We consider the class of iterative shrinkage-thresholding algorithms (ISTA) for solving linear inverse problems arising in signal image processing. This class of methods, which can be viewed as an extension of the classical gradient algorithm, is attractive due to its simplicity and thus is adequate for solving large-scale problems even with dense matrix data. However, such methods are also known to converge quite slowly. In this paper we present a new fast iterative shrinkage-thresholding algorithm (FISTA) which preserves the computational simplicity of ISTA but with a global rate of convergence which is proven to be significantly better, both theoretically and practically. Initial promising numerical results for wavelet-based image deblurring demonstrate the capabilities of FISTA which is shown to be faster than ISTA by several orders of magnitude. Recently, many variance reduced stochastic alternating direction method of multipliers (ADMM) methods (e.g. SAG-ADMM, SDCA-ADMM and SVRG-ADMM) have made exciting progress such as linear convergence rates for strongly convex problems. However, the best known convergence rate for general convex problems is O(1 T ) as opposed to O(1 T 2 ) of accelerated batch algorithms, where T is the number of iterations. Thus, there still remains a gap in convergence rates between existing stochastic ADMM and batch algorithms. To bridge this gap, we introduce the momentum acceleration trick for batch optimization into the stochastic variance reduced gradient based ADMM (SVRG-ADMM), which leads to an accelerated (ASVRG-ADMM) method. Then we design two different momentum term update rules for strongly convex and general convex cases. We prove that ASVRG-ADMM converges linearly for strongly convex problems. Besides having a low-iteration complexity as existing stochastic ADMM methods, ASVRG-ADMM improves the convergence rate on general convex problems from O(1 T ) to O(1 T 2 ). Our experimental results show the effectiveness of ASVRG-ADMM. Many problems of recent interest in statistics and machine learning can be posed in the framework of convex optimization. Due to the explosion in size and complexity of modern datasets, it is increasingly important to be able to solve problems with a very large number of features or training examples. As a result, both the decentralized collection or storage of these datasets as well as accompanying distributed solution methods are either necessary or at least highly desirable. In this review, we argue that the alternating direction method of multipliers is well suited to distributed convex optimization, and in particular to large-scale problems arising in statistics, machine learning, and related areas. The method was developed in the 1970s, with roots in the 1950s, and is equivalent or closely related to many other algorithms, such as dual decomposition, the method of multipliers, Douglas–Rachford splitting, Spingarn's method of partial inverses, Dykstra's alternating projections, Bregman iterative algorithms for l1 problems, proximal methods, and others. After briefly surveying the theory and history of the algorithm, we discuss applications to a wide variety of statistical and machine learning problems of recent interest, including the lasso, sparse logistic regression, basis pursuit, covariance selection, support vector machines, and many others. We also discuss general distributed optimization, extensions to the nonconvex setting, and efficient implementation, including some details on distributed MPI and Hadoop MapReduce implementations. Motivation: Many complex disease syndromes such as asthma consist of a large number of highly related, rather than independent, clinical phenotypes, raising a new technical challenge in identifying genetic variations associated simultaneously with correlated traits. Although a causal genetic variation may influence a group of highly correlated traits jointly, most of the previous association analyses considered each phenotype separately, or combined results from a set of single-phenotype analyses. Results: We propose a new statistical framework called graph-guided fused lasso to address this issue in a principled way. Our approach represents the dependency structure among the quantitative traits explicitly as a network, and leverages this trait network to encode structured regularizations in a multivariate regression model over the genotypes and traits, so that the genetic markers that jointly influence subgroups of highly correlated traits can be detected with high sensitivity and specificity. While most of the traditional methods examined each phenotype independently, our approach analyzes all of the traits jointly in a single statistical method to discover the genetic markers that perturb a subset of correlated triats jointly rather than a single trait. Using simulated datasets based on the HapMap consortium data and an asthma dataset, we compare the performance of our method with the single-marker analysis, and other sparse regression methods that do not use any structural information in the traits. Our results show that there is a significant advantage in detecting the true causal single nucleotide polymorphisms when we incorporate the correlation pattern in traits using our proposed methods. Availability: Software for GFlasso is available at http: www.sailing.cs.cmu.edu gflasso.html Contact:sssykim@cs.cmu.edu; ksohn@cs.cmu.edu; In this paper, we analyze the convergence of the alternating direction method of multipliers (ADMM) for minimizing a nonconvex and possibly nonsmooth objective function, ( (x_0, ,x_p,y) ), subject to coupled linear equality constraints. Our ADMM updates each of the primal variables (x_0, ,x_p,y ), followed by updating the dual variable. We separate the variable y from (x_i )’s as it has a special role in our analysis. The developed convergence guarantee covers a variety of nonconvex functions such as piecewise linear functions, ( _q ) quasi-norm, Schatten-q quasi-norm ( (0<q<1 )), minimax concave penalty (MCP), and smoothly clipped absolute deviation penalty. It also allows nonconvex constraints such as compact manifolds (e.g., spherical, Stiefel, and Grassman manifolds) and linear complementarity constraints. Also, the (x_0 )-block can be almost any lower semi-continuous function. By applying our analysis, we show, for the first time, that several ADMM algorithms applied to solve nonconvex models in statistical learning, optimization on manifold, and matrix decomposition are guaranteed to converge. Our results provide sufficient conditions for ADMM to converge on (convex or nonconvex) monotropic programs with three or more blocks, as they are special cases of our model. ADMM has been regarded as a variant to the augmented Lagrangian method (ALM). We present a simple example to illustrate how ADMM converges but ALM diverges with bounded penalty parameter ( ). Indicated by this example and other analysis in this paper, ADMM might be a better choice than ALM for some nonconvex nonsmooth problems, because ADMM is not only easier to implement, it is also more likely to converge for the concerned scenarios. The alternating direction method of multipliers (ADMM) is widely used to solve large-scale linearly constrained optimization problems, convex or nonconvex, in many engineering fields. However there is a general lack of theoretical understanding of the algorithm when the objective function is nonconvex. In this paper we analyze the convergence of the ADMM for solving certain nonconvex consensus and sharing problems. We show that the classical ADMM converges to the set of stationary solutions, provided that the penalty parameter in the augmented Lagrangian is chosen to be sufficiently large. For the sharing problems, we show that the ADMM is convergent regardless of the number of variable blocks. Our analysis does not impose any assumptions on the iterates generated by the algorithm and is broadly applicable to many ADMM variants involving proximal update rules and various flexible block selection rules. With the growing importance of large network models and enormous training datasets, GPUs have become increasingly necessary to train neural networks. This is largely because conventional optimization algorithms rely on stochastic gradient methods that don't scale well to large numbers of cores in a cluster setting. Furthermore, the convergence of all gradient methods, including batch methods, suffers from common problems like saturation effects, poor conditioning, and saddle points. This paper explores an unconventional training method that uses alternating direction methods and Bregman iteration to train networks without gradient descent steps. The proposed method reduces the network training problem to a sequence of minimization substeps that can each be solved globally in closed form. The proposed method is advantageous because it avoids many of the caveats that make gradient methods slow on highly nonconvex problems. The method exhibits strong scaling in the distributed setting, yielding linear speedups even when split over thousands of cores. We provide a new proof of the linear convergence of the alternating direction method of multipliers (ADMM) when one of the objective terms is strongly convex. Our proof is based on a framework for analyzing optimization algorithms introduced in (2014), reducing algorithm convergence to verifying the stability of a dynamical system. This approach generalizes a number of existing results and obviates any assumptions about specific choices of algorithm parameters. On a numerical example, we demonstrate that minimizing the derived bound on the convergence rate provides a practical approach to selecting algorithm parameters for particular ADMM instances. We complement our upper bound by constructing a nearly-matching lower bound on the worst-case rate of convergence. Nonconvex and nonsmooth optimization problems are frequently encountered in much of statistics, business, science and engineering, but they are not yet widely recognized as a technology in the sense of scalability. A reason for this relatively low degree of popularity is the lack of a well developed system of theory and algorithms to support the applications, as is the case for its convex counterpart. This paper aims to take one step in the direction of disciplined nonconvex and nonsmooth optimization. In particular, we consider in this paper some constrained nonconvex optimization models in block decision variables, with or without coupled affine constraints. In the absence of coupled constraints, we show a sublinear rate of convergence to an ( )-stationary solution in the form of variational inequality for a generalized conditional gradient method, where the convergence rate is dependent on the Holderian continuity of the gradient of the smooth part of the objective. For the model with coupled affine constraints, we introduce corresponding ( )-stationarity conditions, and apply two proximal-type variants of the ADMM to solve such a model, assuming the proximal ADMM updates can be implemented for all the block variables except for the last block, for which either a gradient step or a majorization–minimization step is implemented. We show an iteration complexity bound of (O(1 ^2) ) to reach an ( )-stationary solution for both algorithms. Moreover, we show that the same iteration complexity of a proximal BCD method follows immediately. Numerical results are provided to illustrate the efficacy of the proposed algorithms for tensor robust PCA and tensor sparse PCA problems. The Alternating Direction Method of Multipliers (ADMM) has received lots of attention recently due to the tremendous demand from large-scale and data-distributed machine learning applications. In this paper, we present a stochastic setting for optimization problems with non-smooth composite objective functions. To solve this problem, we propose a stochastic ADMM algorithm. Our algorithm applies to a more general class of convex and nonsmooth objective functions, beyond the smooth and separable least squares loss used in lasso. We also demonstrate the rates of convergence for our algorithm under various structural assumptions of the stochastic function: O(1 √t)) for convex functions and O(log t t) for strongly convex functions. Compared to previous literature, we establish the convergence rate of ADMM for convex problems in terms of both the objective value and the feasibility violation. A novel application named Graph-Guided SVM is proposed to demonstrate the usefulness of our algorithm.  In the paper, we study the stochastic alternating direction method of multipliers (ADMM) for the nonconvex optimizations, and propose three classes of the nonconvex stochastic ADMM with variance reduction, based on different reduced variance stochastic gradients. Specifically, the first class called the nonconvex stochastic variance reduced gradient ADMM (SVRG-ADMM), uses a multi-stage scheme to progressively reduce the variance of stochastic gradients. The second is the nonconvex stochastic average gradient ADMM (SAG-ADMM), which additionally uses the old gradients estimated in the previous iteration. The third called SAGA-ADMM is an extension of the SAG-ADMM method. Moreover, under some mild conditions, we establish the iteration complexity bound of @math of the proposed methods to obtain an @math -stationary solution of the nonconvex optimizations. In particular, we provide a general framework to analyze the iteration complexity of these nonconvex stochastic ADMM methods with variance reduction. Finally, some numerical experiments demonstrate the effectiveness of our methods. We propose a new stochastic dual coordinate ascent technique that can be applied to a wide range of regularized learning problems. Our method is based on alternating direction method of multipliers (ADMM) to deal with complex regularization functions such as structured regularizations. Although the original ADMM is a batch method, the proposed method offers a stochastic update rule where each iteration requires only one or few sample observations. Moreover, our method can naturally afford mini-batch update and it gives speed up of convergence. We show that, under mild assumptions, our method converges exponentially. The numerical experiments show that our method actually performs efficiently. The alternating direction method with multipliers (ADMM) has been one of most powerful and successful methods for solving various composite problems. The convergence of the conventional ADMM (i.e., 2-block) for convex objective functions has been justified for a long time, and its convergence for nonconvex objective functions has, however, been established very recently. The multi-block ADMM, a natural extension of ADMM, is a widely used scheme and has also been found very useful in solving various nonconvex optimization problems. It is thus expected to establish convergence theory of the multi-block ADMM under nonconvex frameworks. In this paper we present a Bregman modification of 3-block ADMM and establish its convergence for a large family of nonconvex functions. We further extend the convergence results to the @math -block case ( @math ), which underlines the feasibility of multi-block ADMM applications in nonconvex settings. Finally, we present a simulation study and a real-world application to support the correctness of the obtained theoretical assertions. The alternating direction method of multipliers (ADMM) is a powerful optimization solver in machine learning. Recently, stochastic ADMM has been integrated with variance reduction methods for stochastic gradient, leading to SAG-ADMM and SDCA-ADMM that have fast convergence rates and low iteration complexities. However, their space requirements can still be high. In this paper, we propose an integration of ADMM with the method of stochastic variance reduced gradient (SVRG). Unlike another recent integration attempt called SCAS-ADMM, the proposed algorithm retains the fast convergence benefits of SAG-ADMM and SDCA-ADMM, but is more advantageous in that its storage requirement is very low, even independent of the sample size n. Experimental results demonstrate that it is as fast as SAG-ADMM and SDCA-ADMM, much faster than SCAS-ADMM, and can be used on much bigger data sets. Alternating direction method of multipliers (ADMM) has received tremendous interest for solving numerous problems in machine learning, statistics and signal processing. However, it is known that the performance of ADMM and many of its variants is very sensitive to the penalty parameter of a quadratic penalty applied to the equality constraints. Although several approaches have been proposed for dynamically changing this parameter during the course of optimization, they do not yield theoretical improvement in the convergence rate and are not directly applicable to stochastic ADMM. In this paper, we develop a new ADMM and its linearized variant with a new adaptive scheme to update the penalty parameter. Our methods can be applied under both deterministic and stochastic optimization settings for structured non-smooth objective function. The novelty of the proposed scheme lies at that it is adaptive to a local sharpness property of the objective function, which marks the key difference from previous adaptive scheme that adjusts the penalty parameter per-iteration based on certain conditions on iterates. On theoretical side, given the local sharpness characterized by an exponent @math , we show that the proposed ADMM enjoys an improved iteration complexity of @math @math suppresses a logarithmic factor. in the deterministic setting and an iteration complexity of @math in the stochastic setting without smoothness and strong convexity assumptions. The complexity in either setting improves that of the standard ADMM which only uses a fixed penalty parameter. On the practical side, we demonstrate that the proposed algorithms converge comparably to, if not much faster than, ADMM with a fine-tuned fixed penalty parameter.