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Sub-sampled Newton Methods with Non-uniform Sampling

NeurIPS 2016 · Learning theory and algorithms › Matrix and tensor methods · approach: Low-rank approximation theory · 82 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
replace uniform sampling with block partial leverage score sampling in SSNridge logistic regression Hessian approximation · four real datasets, lambda=0.01running time to medium/high precision vs Newton: at least 2x faster than NewtonHelped
replace uniform sampling with block norm squares sampling in SSNridge logistic regression Hessian approximation · four real datasets, lambda=0.01running time vs NewtonHelped
uniform sampling vs non-uniform sampling as condition number grows (ablation)SSN uniform sampling · ridge logistic regression on Adult with varying lambdarunning time to 1e-8 relative errorHurt
use leverage score (partial) sampling instead of block norm squares sampling (ablation)SSN sampling distribution · ridge logistic regression, ill-conditioned lambdaconvergence robustness to condition numberHelped
recompute partial leverage scores only every 10 iterations (stale scores) (ablation)PLevSS · ridge logistic regressionrunning timeNo clear effect
uniform sampling performance on high-coherence datasetSSN uniform sampling · ridge logistic regression with lambda=0.01 on high-nonuniformity dataconvergence to optimumHurt

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