Fast Spawn&Prune (FS&P): Global convergence of stochastic conic particle gradient descent via birth/death process

Yohann De Castro, Sébastien Gadat and Clément Marteau

No 26-1750, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: We investigate the global optimization of the objective function arising in continuous sparse regression, specifically the Beurling LASSO (BLASSO), over the space of measures. While Conic Particle Gradient Descent (CPGD) methods are computationally efficient, they may become trapped in local minima due to the non-convexity of the parameterization. To overcome this limitation, we introduce Fast Spawn & Prune (FS&P), a stochastic algorithm that extends FastPart introduced in De Castro et al. (2025a) and combines CPGD with a birth–death process. The birth mechanism ensures asymptotic global exploration by introducing particles in regions where first-order optimality conditions are violated, while the death process preserves computational efficiency by pruning non-informative particles. We provide the first theoretical guarantee of global convergence for this class of discrete-time stochastic algorithms, without requiring exponentially large initializations. Furthermore, we derive convergence rates for the excess risk, thereby quantifying the trade-off between global exploration and local refinement. Moreover, we also propose a horizon-free variant that does not require prior knowledge of the iteration budget.

Keywords: continuous sparse regression; conic particle gradient descent; birth and death; process; global convergence; stochastic optimization (search for similar items in EconPapers)
Date: 2026-06-01, Revised 2026-06-10
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