Sharp global convergence guarantees for iterative nonconvex optimization with random data

We consider a general class of regression models with normally distributed covariates, and the associated nonconvex problem of fitting these models from data. We develop a general recipe for analyzing the convergence of iterative algorithms for this task from a random initialization. In particular, provided each iteration can be written as the solution to a convex optimization problem satisfying some natural conditions, we leverage Gaussian comparison theorems to derive a deterministic sequence that provides sharp upper and lower bounds on the error of the algorithm with sample-splitting. Crucially, this deterministic sequence accurately captures both the convergence rate of the algorithm and the eventual error floor in the finite-sample regime, and is distinct from the commonly used “population” sequence that results from taking the infinite-sample limit. We apply our general framework to derive several concrete consequences for parameter estimation in popular statistical models including phase retrieval and mixtures of regressions. Provided the sample size scales near-linearly in the dimension, we show sharp global convergence rates for both higher-order algorithms based on alternating updates and first-order algorithms based on subgradient descent. These corollaries, in turn, reveal multiple nonstandard phenomena that are then corroborated by extensive numerical experiments.