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Abstract
We study the problem of efficiently computing the derivative of the
fixed-point of a parametric nondifferentiable contraction map. This problem has
wide applications in machine learning, including hyperparameter optimization,
meta-learning and data poisoning attacks. We analyze two popular approaches:
iterative differentiation (ITD) and approximate implicit differentiation (AID).
A key challenge behind the nonsmooth setting is that the chain rule does not
hold anymore. We build upon the work by Bolte et al. (2022), who prove linear
convergence of nonsmooth ITD under a piecewise Lipschitz smooth assumption. In
the deterministic case, we provide a linear rate for AID and an improved linear
rate for ITD which closely match the ones for the smooth setting. We further
introduce NSID, a new stochastic method to compute the implicit derivative when
the contraction map is defined as the composition of an outer map and an inner
map which is accessible only through a stochastic unbiased estimator. We
establish rates for the convergence of NSID, encompassing the best available
rates in the smooth setting. We also present illustrative experiments
confirming our analysis.