Frank-Wolfe-based Algorithms for Approximating Tyler* M-estimator

Lior Danon, Dan Garber

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

2 Scopus citations

Abstract

Tyler* M-estimator is a well known procedure for robust and heavy-tailed covariance estimation. Tyler himself suggested an iterative fixed-point algorithm for computing his estimator however, it requires super-linear (in the size of the data) runtime per iteration, which maybe prohibitive in large scale. In this work we propose, to the best of our knowledge, the first Frank-Wolfe-based algorithms for computing Tyler* estimator. One variant uses standard Frank-Wolfe steps, the second also considers away-steps (AFW), and the third is a geodesic version of AFW (GAFW). AFW provably requires, up to a log factor, only linear time per iteration, while GAFW runs in linear time (up to a log factor) in a large n (number of data-points) regime. All three variants are shown to provably converge to the optimal solution with sublinear rate, under standard assumptions, despite the fact that the underlying optimization problem is not convex nor smooth. Under an additional fairly mild assumption, that holds with probability 1 when the (normalized) data-points are i.i.d. samples from a continuous distribution supported on the entire unit sphere, AFW and GAFW are proved to converge with linear rates. Importantly, all three variants are parameter-free and use adaptive step-sizes.

Original languageEnglish
Title of host publicationAdvances in Neural Information Processing Systems 35 - 36th Conference on Neural Information Processing Systems, NeurIPS 2022
EditorsS. Koyejo, S. Mohamed, A. Agarwal, D. Belgrave, K. Cho, A. Oh
ISBN (Electronic)9781713871088
StatePublished - 2022
Event36th Conference on Neural Information Processing Systems, NeurIPS 2022 - New Orleans, United States
Duration: 28 Nov 20229 Dec 2022

Publication series

NameAdvances in Neural Information Processing Systems
Volume35
ISSN (Print)1049-5258

Conference

Conference36th Conference on Neural Information Processing Systems, NeurIPS 2022
Country/TerritoryUnited States
CityNew Orleans
Period28/11/229/12/22

ASJC Scopus subject areas

  • Computer Networks and Communications
  • Information Systems
  • Signal Processing

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