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SONIA: A Symmetric Blockwise Truncated Optimization Algorithm

Majid Jahani · MohammadReza Nazari · Rachael Tappenden · Albert Berahas · Martin Takac

Keywords: [ Algorithms, Optimization and Computation Methods ] [ Convex optimization ]


This work presents a new optimization algorithm for empirical risk minimization. The algorithm bridges the gap between first- and second-order methods by computing a search direction that uses a second-order-type update in one subspace, coupled with a scaled steepest descent step in the orthogonal complement. To this end, partial curvature information is incorporated to help with ill-conditioning, while simultaneously allowing the algorithm to scale to the large problem dimensions often encountered in machine learning applications. Theoretical results are presented to confirm that the algorithm converges to a stationary point in both the strongly convex and nonconvex cases. A stochastic variant of the algorithm is also presented, along with corresponding theoretical guarantees. Numerical results confirm the strengths of the new approach on standard machine learning problems.

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