RSN: Randomized Subspace Newton
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Random matrices (algebraic aspects) (15B52) Stochastic approximation (62L20) Complexity and performance of numerical algorithms (65Y20) Randomized algorithms (68W20) Analysis of algorithms (68W40) Stochastic and other probabilistic methods applied to problems in solid mechanics (74S60) Large-scale problems in mathematical programming (90C06) Methods of quasi-Newton type (90C53)
Abstract: We develop a randomized Newton method capable of solving learning problems with huge dimensional feature spaces, which is a common setting in applications such as medical imaging, genomics and seismology. Our method leverages randomized sketching in a new way, by finding the Newton direction constrained to the space spanned by a random sketch. We develop a simple global linear convergence theory that holds for practically all sketching techniques, which gives the practitioners the freedom to design custom sketching approaches suitable for particular applications. We perform numerical experiments which demonstrate the efficiency of our method as compared to accelerated gradient descent and the full Newton method. Our method can be seen as a refinement and randomized extension of the results of Karimireddy, Stich, and Jaggi (2019).
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