Smoothing the Edges: Smooth Optimization for Sparse Regularization using Hadamard Overparametrization

• URL: http://arxiv.org/abs/2307.03571v3
• Date: Fri, 26 Apr 2024 23:45:41 GMT
• Title: Smoothing the Edges: Smooth Optimization for Sparse Regularization using Hadamard Overparametrization
• Authors: Chris Kolb, Christian L. Müller, Bernd Bischl, David Rügamer,
• Abstract summary: We present a framework for smooth optimization of explicitly regularized objectives for (structured) sparsity. Our method enables fully differentiable approximation-free optimization and is thus compatible with the ubiquitous gradient descent paradigm in deep learning.
• Score: 10.009748368458409
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We present a framework for smooth optimization of explicitly regularized objectives for (structured) sparsity. These non-smooth and possibly non-convex problems typically rely on solvers tailored to specific models and regularizers. In contrast, our method enables fully differentiable and approximation-free optimization and is thus compatible with the ubiquitous gradient descent paradigm in deep learning. The proposed optimization transfer comprises an overparameterization of selected parameters and a change of penalties. In the overparametrized problem, smooth surrogate regularization induces non-smooth, sparse regularization in the base parametrization. We prove that the surrogate objective is equivalent in the sense that it not only has identical global minima but also matching local minima, thereby avoiding the introduction of spurious solutions. Additionally, our theory establishes results of independent interest regarding matching local minima for arbitrary, potentially unregularized, objectives. We comprehensively review sparsity-inducing parametrizations across different fields that are covered by our general theory, extend their scope, and propose improvements in several aspects. Numerical experiments further demonstrate the correctness and effectiveness of our approach on several sparse learning problems ranging from high-dimensional regression to sparse neural network training.

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