Global Linear and Local Superlinear Convergence of IRLS for Non-Smooth Robust Regression

MaRDI QIDQ6408745zbMATH OpenFDO

Authors Liangzu Peng, Christian Kümmerle, René Vidal

Publication date 24 August 2022

Has companion code repository https://github.com/liangzu/irls-neurips2022

Abstract: We advance both the theory and practice of robust $el{l}_p$-quasinorm regression for $pin(0,1]$ by using novel variants of iteratively reweighted least-squares (IRLS) to solve the underlying non-smooth problem. In the convex case, $p=1$, we prove that this IRLS variant converges globally at a linear rate under a mild, deterministic condition on the feature matrix called the extit{stable range space property}. In the non-convex case, $pin(0,1)$, we prove that under a similar condition, IRLS converges locally to the global minimizer at a superlinear rate of order $2-p$; the rate becomes quadratic as $po0$. We showcase the proposed methods in three applications: real phase retrieval, regression without correspondences, and robust face restoration. The results show that (1) IRLS can handle a larger number of outliers than other methods, (2) it is faster than competing methods at the same level of accuracy, (3) it restores a sparsely corrupted face image with satisfactory visual quality. https://github.com/liangzu/IRLS-NeurIPS2022

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