We provide a numerically robust and fast method capable of exploiting the local geometry when solving large-scale stochastic optimisation problems. Our key innovation is an auxiliary variable construction coupled with an inverse Hessian approximation computed using a receding history of iterates and gradients. It is the Markov chain nature of the classic stochastic gradient algorithm that enables this development. The construction offers a mechanism for stochastic line search adapting the step length. We numerically evaluate and compare against current state-of-the-art with encouraging performance on real-world benchmark problems where the number of observations and unknowns is in the order of millions.
The work by @cite_4 developed modifications of BFGS and its limited memory version applicable to online stochastic optimisation problems. There has also been a series of papers approximating the scaling matrix @math with a diagonal matrix, see e.g. @cite_11 and @cite_5 . The idea of exploiting regularization together with BFGS was successfully introduced by @cite_10 , where the scaling matrix @math was modified using regularization. Later they also developed a stochastic L-BFGS algorithm without regularization. The idea of replacing the stochastic gradient difference in the BFGS update with a subsampled Hessian-vector product was recently introduced by @cite_12 and @cite_20 introduced a damped L-BFGS method.
@cite_4 @cite_5 @cite_20 @cite_10 @cite_12 @cite_11
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We propose a novel limited-memory stochastic block BFGS update for incorporating enriched curvature information in stochastic approximation methods. In our method, the estimate of the inverse Hessian matrix that is maintained by it, is updated at each iteration using a sketch of the Hessian, i.e., a randomly generated compressed form of the Hessian. We propose several sketching strategies, present a new quasi-Newton method that uses stochastic block BFGS updates combined with the variance reduction approach SVRG to compute batch stochastic gradients, and prove linear convergence of the resulting method. Numerical tests on large-scale logistic regression problems reveal that our method is more robust and substantially outperforms current state-of-the-art methods. We develop stochastic variants of the wellknown BFGS quasi-Newton optimization method, in both full and memory-limited (LBFGS) forms, for online optimization of convex functions. The resulting algorithm performs comparably to a well-tuned natural gradient descent but is scalable to very high-dimensional problems. On standard benchmarks in natural language processing, it asymptotically outperforms previous stochastic gradient methods for parameter estimation in conditional random fields. We are working on analyzing the convergence of online (L)BFGS, and extending it to nonconvex optimization problems. The L-BFGS limited-memory quasi-Newton method is the algorithm of choice for optimizing the parameters of large-scale log-linear models with L 2 regularization, but it cannot be used for an L 1 -regularized loss due to its non-differentiability whenever some parameter is zero. Efficient algorithms have been proposed for this task, but they are impractical when the number of parameters is very large. We present an algorithm Orthant-Wise Limited-memory Quasi-Newton (OWL-QN), based on L-BFGS, that can efficiently optimize the L 1 -regularized log-likelihood of log-linear models with millions of parameters. In our experiments on a parse reranking task, our algorithm was several orders of magnitude faster than an alternative algorithm, and substantially faster than L-BFGS on the analogous L 2 -regularized problem. We also present a proof that OWL-QN is guaranteed to converge to a globally optimal parameter vector. We develop and analyze a broad family of stochastic randomized algorithms for inverting a matrix. We also develop specialized variants maintaining symmetry or positive definiteness of the iterates. All methods in the family converge globally and linearly (i.e., the error decays exponentially), with explicit rates. In special cases, we obtain stochastic block variants of several quasi-Newton updates, including bad Broyden (BB), good Broyden (GB), Powell-symmetric-Broyden (PSB), Davidon-Fletcher-Powell (DFP) and Broyden-Fletcher-Goldfarb-Shanno (BFGS). Ours are the first stochastic versions of these updates shown to converge to an inverse of a fixed matrix. Through a dual viewpoint we uncover a fundamental link between quasi-Newton updates and approximate inverse preconditioning. Further, we develop an adaptive variant of randomized block BFGS, where we modify the distribution underlying the stochasticity of the method throughout the iterative process to achieve faster convergence. By inverting several matrices from varied applications, we demonstrate that AdaRBFGS is highly competitive when compared to the well established Newton-Schulz and minimal residual methods. In particular, on large-scale problems our method outperforms the standard methods by orders of magnitude. Development of efficient methods for estimating the inverse of very large matrices is a much needed tool for preconditioning and variable metric optimization methods in the advent of the big data era.