A proof of convergence of the concave-convex procedure using Zangwill's theory

Bharath K. Sriperumbudur, Gert R.G. Lanckriet

Research output: Contribution to journalComment/debate

38 Scopus citations

Abstract

The concave-convex procedure (CCCP) is an iterative algorithm that solves d.c. (difference of convex functions) programs as a sequence of convex programs. In machine learning,CCCP is extensively used in many learning algorithms, including sparse support vector machines (SVMs), transductive SVMs, and sparse principal component analysis. Though CCCP is widely used in many applications, its convergence behavior has not gotten a lot of specific attention. Yuille and Rangarajan analyzed its convergence in their original paper; however, we believe the analysis is not complete. The convergence of CCCP can be derived from the convergence of the d.c. algorithm (DCA), proposed in the global optimization literature to solve general d.c. programs, whose proof relies on d.c. duality. In this note, we follow a different reasoning and show how Zangwill's global convergence theory of iterative algorithms provides a natural framework to prove the convergence of CCCP. This underlines Zangwill's theory as a powerful and general framework to deal with the convergence issues of iterative algorithms, after also being used to prove the convergence of algorithms like expectation-maximization and generalized alternating minimization. In this note, we provide a rigorous analysis of the convergence of CCCP by addressing two questions:When does CCCP find a local minimum or a stationary point of the d.c. program under consideration? and when does the sequence generated by CCCP converge? We also present an open problem on the issue of local convergence of CCCP.

Original languageEnglish (US)
Pages (from-to)1391-1407
Number of pages17
JournalNeural computation
Volume24
Issue number6
DOIs
StatePublished - 2012

All Science Journal Classification (ASJC) codes

  • Arts and Humanities (miscellaneous)
  • Cognitive Neuroscience

Fingerprint Dive into the research topics of 'A proof of convergence of the concave-convex procedure using Zangwill's theory'. Together they form a unique fingerprint.

  • Cite this