Papers › Sparse Optimization on Measures with Over-parameterized Gradient Descent

Sparse Optimization on Measures with Over-parameterized Gradient Descent

24 Jul 2019arXiv:1907.10300archive 2025-07-28

Lenaic Chizat

Minimizing a convex function of a measure with a sparsity-inducing penalty is a typical problem arising, e.g., in sparse spikes deconvolution or two-layer neural networks training. We show that this problem can be solved by discretizing the measure and running non-convex gradient descent on the positions and weights of the particles. For measures on a d-dimensional manifold and under some non-degeneracy assumptions, this leads to a global optimization algorithm with a complexity scaling as log(1/ϵ) in the desired accuracy ϵ, instead of ϵ⁻ᵈ for convex methods. The key theoretical tools are a local convergence analysis in Wasserstein space and an analysis of a perturbed mirror descent in the space of measures. Our bounds involve quantities that are exponential in d which is unavoidable under our assumptions.

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