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Accelerated Stochastic Matrix Inversion: General Theory and Speeding up BFGS Rules for Faster Second-Order Optimization

NeurIPS 2018 · Optimization › Nonconvex and smooth optimization · approach: Adaptive first-order convex methods · 15 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Add acceleration to sketch-and-projectSketch-and-project for linear systems · Linear systems in Euclidean spacesiteration complexity: O((1/mu) log(1/epsilon)) -> O(sqrt(nu/mu) log(1/epsilon))Helped
Add acceleration with carefully chosen parametersStochastic matrix inversion · Artificial matrices and LIBSVM ridge-regression Hessiansconvergence speedHelped
Use coordinate sketches instead of Gaussian sketches (ablation)Accelerated stochastic matrix inversion · LIBSVM ridge-regression Hessiansconvergence speedMixed
Use estimated rather than exact acceleration parameters (ablation)Accelerated stochastic matrix inversion · Artificial matrices and LIBSVM datasetsconvergence speedNo clear effect
Set both mu and nu too small (ablation)Accelerated stochastic matrix inversion · Sensitivity experiments on artificial matricesconvergenceHurt
Enforce symmetry in the matrix-inversion iterates (ablation)Accelerated stochastic matrix inversion · Positive definite matrix inversionconvergence rate: 2lambda_min(E[P]) >= lambda_min(E[Z]) >= lambda_min(E[P])Helped
Replace the standard deterministic BFGS update with the accelerated updateBFGS optimization · phishing, mushrooms, australian, spliceoptimization convergenceHelped
Replace the standard deterministic BFGS update with the accelerated update (ablation)BFGS optimization · madelon, covtype, a9aoptimization convergenceNo clear effect
Use the accelerated deterministic BFGS updateBFGS optimization · phishing, mushrooms, australian, splicetime to convergenceHelped

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