NeurIPS2021
Linear Convergence of Gradient Methods for Estimating Structured Transition Matrices in High-dimensional Vector Autoregressive Models
Xiao Lv, Wei Cui, Yulong Liu
2 citations
Abstract
In this paper, we present non-asymptotic optimization guarantees of gradient descent methods for estimating structured transition matrices in high-dimensional vector autoregressive (VAR) models. We adopt the projected gradient descent (PGD) for single-structured transition matrices and the alternating projected gradient descent (AltPGD) for superposition-structured ones. Our analysis demonstrates that both gradient algorithms converge linearly to the statistical error even though the strong convexity of the objective function is absent under the high-dimensional settings. Moreover our result is sharp (up to a constant factor) in the sense of matching the phase transition theory of the corresponding model with independent samples. To the best of our knowledge, this analysis constitutes first nonasymptotic optimization guarantees of the linear rate for regularized estimation in high-dimensional VAR models. Numerical results are provided to support our theoretical analysis.