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First-order methods almost always avoid strict saddle points
Journal article   Peer reviewed

First-order methods almost always avoid strict saddle points

Jason D. Lee, Ioannis Panageas, Georgios Piliouras, Max Simchowitz, Michael I. Jordan and Benjamin Recht
Mathematical programming, Vol.176(1-2), pp.311-337
01/07/2019

Abstract

Calculus of Variations and Optimal Control; Optimization Combinatorics Full Length Paper Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Mathematics of Computing Numerical Analysis Theoretical
We establish that first-order methods avoid strict saddle points for almost all initializations. Our results apply to a wide variety of first-order methods, including (manifold) gradient descent, block coordinate descent, mirror descent and variants thereof. The connecting thread is that such algorithms can be studied from a dynamical systems perspective in which appropriate instantiations of the Stable Manifold Theorem allow for a global stability analysis. Thus, neither access to second-order derivative information nor randomness beyond initialization is necessary to provably avoid strict saddle points.

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