Outlier-Robust Sparse Estimation via Non-Convex Optimization
Publication
, Conference
Cheng, Y; Diakonikolas, I; Ge, R; Gupta, S; Kane, DM; Soltanolkotabi, M
Published in: Advances in Neural Information Processing Systems
January 1, 2022
We explore the connection between outlier-robust high-dimensional statistics and non-convex optimization in the presence of sparsity constraints, with a focus on the fundamental tasks of robust sparse mean estimation and robust sparse PCA. We develop novel and simple optimization formulations for these problems such that any approximate stationary point of the associated optimization problem yields a near-optimal solution for the underlying robust estimation task. As a corollary, we obtain that any first-order method that efficiently converges to stationarity yields an efficient algorithm for these tasks. The obtained algorithms are simple, practical, and succeed under broader distributional assumptions compared to prior work.
Duke Scholars
Published In
Advances in Neural Information Processing Systems
ISSN
1049-5258
Publication Date
January 1, 2022
Volume
35
Related Subject Headings
- 4611 Machine learning
- 1702 Cognitive Sciences
- 1701 Psychology
Citation
APA
Chicago
ICMJE
MLA
NLM
Cheng, Y., Diakonikolas, I., Ge, R., Gupta, S., Kane, D. M., & Soltanolkotabi, M. (2022). Outlier-Robust Sparse Estimation via Non-Convex Optimization. In Advances in Neural Information Processing Systems (Vol. 35).
Cheng, Y., I. Diakonikolas, R. Ge, S. Gupta, D. M. Kane, and M. Soltanolkotabi. “Outlier-Robust Sparse Estimation via Non-Convex Optimization.” In Advances in Neural Information Processing Systems, Vol. 35, 2022.
Cheng Y, Diakonikolas I, Ge R, Gupta S, Kane DM, Soltanolkotabi M. Outlier-Robust Sparse Estimation via Non-Convex Optimization. In: Advances in Neural Information Processing Systems. 2022.
Cheng, Y., et al. “Outlier-Robust Sparse Estimation via Non-Convex Optimization.” Advances in Neural Information Processing Systems, vol. 35, 2022.
Cheng Y, Diakonikolas I, Ge R, Gupta S, Kane DM, Soltanolkotabi M. Outlier-Robust Sparse Estimation via Non-Convex Optimization. Advances in Neural Information Processing Systems. 2022.
Published In
Advances in Neural Information Processing Systems
ISSN
1049-5258
Publication Date
January 1, 2022
Volume
35
Related Subject Headings
- 4611 Machine learning
- 1702 Cognitive Sciences
- 1701 Psychology