We analyze stochastic gradient descent for optimizing non-convex functions. In many cases for non-convex functions the goal is to find a reasonable local minimum, and the main concern is that gradient updates are trapped in saddle points. In this paper we identify strict saddle property for non-convex problem that allows for efficient optimization. Using this property we show that stochastic gradient descent converges to a local minimum in a polynomial number of iterations. To the best of our knowledge this is the first work that gives global convergence guarantees for stochastic gradient descent on non-convex functions with exponentially many local minima and saddle points. Our analysis can be applied to orthogonal tensor decomposition, which is widely used in learning a rich class of latent variable models. We propose a new optimization formulation for the tensor decomposition problem that has strict saddle property. As a result we get the first online algorithm for orthogonal tensor decomposition with global convergence guarantee.

本研究针对非凸函数的优化问题，通过分析其严格鞍点特性，提出了一种可有效优化的解法——随机梯度下降法，并给出了其多项式迭代次数的局部最小值收敛保证以及应用于正交张量分解问题上的全局收敛保证。

逃离鞍点——基于在线随机梯度的张量分解