Sub-Sampled Newton Methods II: Local Convergence Rates

TitleSub-Sampled Newton Methods II: Local Convergence Rates
Publication TypeMiscellaneous
Year of Publication2016
AuthorsRoosta-Khorasani, F., & Mahoney M. W.

Many data-fitting applications require the solution of an optimization problem involving a sum of large number of functions of high dimensional parameter. Here, we consider the problem of minimizing a sum of n functions over a convex constraint set X⊆Rp where both n and p are large. In such problems, sub-sampling as a way to reduce n can offer great amount of computational efficiency. Within the context of second order methods, we first give quantitative local convergence results for variants of Newton's method where the Hessian is uniformly sub-sampled. Using random matrix concentration inequalities, one can sub-sample in a way that the curvature information is preserved. Using such sub-sampling strategy, we establish locally Q-linear and Q-superlinear convergence rates. We also give additional convergence results for when the sub-sampled Hessian is regularized by modifying its spectrum or Levenberg-type regularization. Finally, in addition to Hessian sub-sampling, we consider sub-sampling the gradient as way to further reduce the computational complexity per iteration. We use approximate matrix multiplication results from randomized numerical linear algebra (RandNLA) to obtain the proper sampling strategy and we establish locally R-linear convergence rates. In such a setting, we also show that a very aggressive sample size increase results in a R-superlinearly convergent algorithm. While the sample size depends on the condition number of the problem, our convergence rates are problem independent, i.e., they do not depend on the quantities related to the problem. Hence, our analysis here can be used to complement the results of our basic framework from the companion paper, [38], by exploring algorithmic trade-offs that are important in practice.

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