With the increase of data volume and data dimension, sparse representation learning attracts more and more attention. For high-dimensional data, randomized block coordinate descent methods perform well because they do not need to calculate the gradient along the whole dimension. Existing hard thresholding algorithms evaluate gradients followed by a hard thresholding operation to update the model parameter, which leads to slow convergence. To address this issue, we propose a novel hard thresholding algorithm, called Semi-stochastic Block Coordinate Descent Hard Thresholding Pursuit (SBCD-HTP). Moreover, we present its sparse and asynchronous parallel variants. We theoretically analyze the convergence properties of our algorithms, which show that they have a significantly lower hard thresholding complexity than existing algorithms. Our empirical evaluations on real-world datasets and face recognition tasks demonstrate the superior performance of our algorithms for sparsity-constrained optimization problems.
===== Update after author response
Thanks for the clarifications and edits in the paper.
I recommend acceptance of the paper.
Other comments:
Definition 1 in the updated version is still too vague ("difference of what?" -- function values? distance in norm between iterates?) -- this should be clarified.
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This paper considers the problem of sparsity-constrained ERM and asks whether one can design a variant of the stochastic hard thresholding approaches where the hard-thresholding complexity does not depend on a (sparsity dependent) condition number, unlike all previous approaches (Table 1). It proposes a method which combines SVRG-type variance reduction, with block-coordinate updates, leaving the hard thresholding operation outside the inner loop, to accomplish this goal. It provides a convergence analysis which significantly improves the previous best rates (by having both the sparsity level shat which is significantly lower (kappa_shat vs. kappa_stilde^2) as well as a condition number independent hard thresholding complexity (Table 1). An asynchronous and sparse (in the features) variant is also proposed, with even better complexity. Some standard experiments on sparse linear regression and sparse logistic regression is presented showing an improvement in both number of iterations as well as CPU time.
I think the clarity of the paper should be quite improved (see detailed comment), hence why I think the paper is borderline, but I am leaning towards an accept given the significant theoretical improvements over the past literature (and positive empirical results), even though the algorithmic suggestion is somewhat incremental.
The proposed Algorithm 1 seems very close to the one of Chen & Gu (2016), the paper should be more clear about this. There seems to be mainly two changes: a) extending the support projection of the gradient to the union of the sampled block with the one of the support of the reference parameter wtilde (vs. just the sampled block in Chen & Gu (2016) and b) moving the hard-thresholding iteration outside of the SVRG-inner loop. These small tweaks to the algorithm yield a significant theoretical improvement, though.
== Detailed comments ==
Clarity: the number of long abbreviations with only one letter change make it hard to follow the different algorithms; perhaps a better more differentiating naming scheme could be used. Moreover, I think more background on the sparse optimization setup should be provided in the introduction or at least in the preliminaries, as I do not think the wider ICLR community is very familiar with it (in particular, no cited paper was at ICLR). For example, define early the separation in optimization error and statistical error; and point out that F(w_t) might even be lower than F(w*) as the sparsity threshold s might be much higher than s*. This will make Table 1 more concrete and less abstract for people who not are not yet experts on this particular analysis framework.
- Table 1: I would suggest to put the rate for S2BCD-HTP instead on the last row and mention instead that the rate for ASBCD is similar under conditions on the delay; as it is interesting to already have a better gradient complexity for S2BCD vs. SBCD.
** Questions:  **
1) In Corollary 1, how is the gradient oracle complexity defined or computed? And more specifically, how does one compare fairly the cost of doing a gradient update in Algorithm 1 on the *bigger set* S = Gtilde U G_jt vs. just G_jt for the Chen & Gu ASBCD algorithm? Is this accounted in the computation?
2) In Figure 1, which "minimum" is referred to and how is it found? I suspect it is not F(w*) (as it could be higher than F(w_t)), i.e. it is *not* the minimum of (1) with s*. One natural guess is that it might be min_w F(w) s.t. ||w||_0 <= s, though I do not see any guarantee in the main paper that running the algorithm would make F(w_t) converge to such a value (i.e. all we know from Thm 1 is that F(w_t) might be within O(||nabla_Itilde F(w*)||^2) of F(w*) ultimately. Please explain and clarify!
== Potential improvement ==
The current result in Theorem 1, which is building on a similar proof technique as the original SVRG paper, has the annoying property of requiring the knowledge of the condition number in setting the size of the inner loop iteration. I suspect that this is an artifact of using an outdated version of the SVRG algorithm. This has been solved since then by considering a "loopless" version of SVRG which implicitly defines the size of the inner loop in a random manner using a quantity *which does not depend on the condition number*. This was proposed first by Hofmann et al. [2015], and then re-used by Lei & Jordan [2016] and more recently by Kovalev et al. [2019] e.g. Note that Leblond et al. (2017) that you cited profusely also used this variant of SVRG. I suspect that this technique could be re-used in your case to obtain a similar result with a loopless variant (which also gives cleaner complexity results). (Though I only skimmed through your proof.)
Caveat: the sensibility of the theory in the main paper seems reasonable, but I did not check the proofs in the appendix.
= References:
- Hofmann et al. [2015]: Variance Reduced Stochastic Gradient Descent with Neighbors, Thomas Hofmann, Aurelien Lucchi, Simon Lacoste-Julien and Brian McWilliams, NeurIPS 2015
- Lei & Jordan [2016]: Less than a Single Pass: Stochastically Controlled Stochastic Gradient Method, Lihua Lei and Michael I. Jordan, AISTATS 2016
- Kovalev et al. [2019]: Don't Jump Through Hoops and Remove Those Loops: SVRG and Katyusha are Better Without the Outer Loop, Dmitry Kovalev, Samuel Horvath and Peter Richtarik, arXiv 2019