Accelerated Projected Gradient Algorithms for Sparsity Constrained Optimization Problems

Jan Harold Mercado Alcantara, Ching-pei Lee

Keywords: projected gradient method, sparse optimization, accelerated algorithms

Abstract: We consider the projected gradient algorithm for the nonconvex best subset selection problem that minimizes a given empirical loss function under an $\ell_0$-norm constraint. Through decomposing the feasible set of the given sparsity constraint as a finite union of linear subspaces, we present two acceleration schemes with global convergence guarantees, one by same-space extrapolation and the other by subspace identification. The former fully utilizes the problem structure to greatly accelerate the optimization speed with only negligible additional cost. The latter leads to a two-stage meta-algorithm that first uses classical projected gradient iterations to identify the correct subspace containing an optimal solution, and then switches to a highly-efficient smooth optimization method in the identified subspace to attain superlinear convergence. Experiments demonstrate that the proposed accelerated algorithms are magnitudes faster than their non-accelerated counterparts as well as the state of the art.

TL;DR: For optimization problems with a sparsity constraint, we propose acceleration methods with provably faster convergence rates and significantly faster empirical speed than the state of the art.