Related papers: A Stochastic Quasi-Newton Method for Large-Scale N…

The quasi-Newton equation is the very basis of a variety of the quasi-Newton methods. By using a relationship formula between nonlinear polynomial equations and the corresponding Jacobian matrix. presented recently by the present author, we…

A q-Gauss-Newton algorithm is an iterative procedure that solves nonlinear unconstrained optimization problems based on minimization of the sum squared errors of the objective function residuals. Main advantage of the algorithm is that it…

Non-convex optimization plays a key role in a growing number of machine learning applications. This motivates the identification of specialized structure that enables sharper theoretical analysis. One such identified structure is…

We study the local convergence of classical quasi-Newton methods for nonlinear optimization. Although it was well established a long time ago that asymptotically these methods converge superlinearly, the corresponding rates of convergence…

Recently several methods were proposed for sparse optimization which make careful use of second-order information [10, 28, 16, 3] to improve local convergence rates. These methods construct a composite quadratic approximation using Hessian…

We consider a class of distributed optimization problem where the objective function consists of a sum of strongly convex and smooth functions and a (possibly nonsmooth) convex regularizer. A multi-agent network is assumed, where each agent…

A number of optimization approaches have been proposed for optimizing nonconvex objectives (e.g. deep learning models), such as batch gradient descent, stochastic gradient descent and stochastic variance reduced gradient descent. Theory…

We consider the use of a curvature-adaptive step size in gradient-based iterative methods, including quasi-Newton methods, for minimizing self-concordant functions, extending an approach first proposed for Newton's method by Nesterov. This…

We propose a Riemannian limited-memory BFGS method for optimization problems with Euclidean bounds. The method combines a limited-memory quasi-Newton update in the tangent space with a Riemannian adaptation of the generalized Cauchy point…

In this paper, we introduce a new stochastic approximation (SA) type algorithm, namely the randomized stochastic gradient (RSG) method, for solving an important class of nonlinear (possibly nonconvex) stochastic programming (SP) problems.…

Quasi-Newton methods are widely used for solving convex optimization problems due to their ease of implementation, practical efficiency, and strong local convergence guarantees. However, their global convergence is typically established…

Many machine learning problems optimize an objective that must be measured with noise. The primary method is a first order stochastic gradient descent using one or more Monte Carlo (MC) samples at each step. There are settings where…

We develop and analyze stochastic inexact Gauss-Newton methods for nonlinear least-squares problems and for nonlinear systems ofequations. Random models are formed using suitable sampling strategies for the matrices involved in the…

This paper proposes a framework of L-BFGS based on the (approximate) second-order information with stochastic batches, as a novel approach to the finite-sum minimization problems. Different from the classical L-BFGS where stochastic batches…

Classical convergence analyses for optimization algorithms rely on the widely-adopted uniform smoothness assumption. However, recent experimental studies have demonstrated that many machine learning problems exhibit non-uniform smoothness,…

Optimization models with non-convex constraints arise in many tasks in machine learning, e.g., learning with fairness constraints or Neyman-Pearson classification with non-convex loss. Although many efficient methods have been developed…

In this paper, a modified BFGS algorithm is proposed. The modified BFGS matrix estimates a modified Hessian matrix which is a convex combination of an identity matrix for the steepest descent algorithm and a Hessian matrix for the Newton…

We propose a communication efficient quasi-Newton method for large-scale multi-agent convex composite optimization. We assume the setting of a network of agents that cooperatively solve a global minimization problem with strongly convex…

This paper studies quasi-Newton methods for solving strongly-convex-strongly-concave saddle point problems (SPP). We propose greedy and random Broyden family updates for SPP, which have explicit local superlinear convergence rate of…

We present two new remarkably simple stochastic second-order methods for minimizing the average of a very large number of sufficiently smooth and strongly convex functions. The first is a stochastic variant of Newton's method (SN), and the…