A projection-free decentralized algorithm for non-convex optimization

Hoi To Wai, Anna Scaglione, Jean Lafond, Eric Moulines

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Scopus citations

Abstract

This paper considers a decentralized projection free algorithm for non-convex optimization in high dimension. More specifically, we propose a Decentralized Frank-Wolfe (DeFW) algorithm which is suitable when high dimensional optimization constraints are difficult to handle by conventional projection/proximal-based gradient descent methods. We present conditions under which the DeFW algorithm converges to a stationary point and prove that the rate of convergence is as fast as O(l/√T), where T is the iteration number. This paper provides the first convergence guarantee for FrankWolfe methods applied to non-convex decentralized optimization. Utilizing our theoretical findings, we formulate a novel robust matrix completion problem and apply DeFW to give an efficient decentralized solution. Numerical experiments are performed on realistic and synthetic data to support our findings.

Original languageEnglish (US)
Title of host publication2016 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2016 - Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages475-479
Number of pages5
ISBN (Electronic)9781509045457
DOIs
StatePublished - Apr 19 2017
Event2016 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2016 - Washington, United States
Duration: Dec 7 2016Dec 9 2016

Other

Other2016 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2016
CountryUnited States
CityWashington
Period12/7/1612/9/16

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Keywords

  • Decentralized algorithms
  • Frank-Wolfe method
  • Gossip algorithms
  • Matrix completion
  • Non-convex optimization

ASJC Scopus subject areas

  • Signal Processing
  • Computer Networks and Communications

Cite this

Wai, H. T., Scaglione, A., Lafond, J., & Moulines, E. (2017). A projection-free decentralized algorithm for non-convex optimization. In 2016 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2016 - Proceedings (pp. 475-479). [7905887] Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/GlobalSIP.2016.7905887