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Newton Sketch: A Linear-time Optimization Algorithm with Linear-Quadratic Convergence (1505.02250v1)

Published 9 May 2015 in math.OC, cs.DS, cs.LG, and stat.ML

Abstract: We propose a randomized second-order method for optimization known as the Newton Sketch: it is based on performing an approximate Newton step using a randomly projected or sub-sampled Hessian. For self-concordant functions, we prove that the algorithm has super-linear convergence with exponentially high probability, with convergence and complexity guarantees that are independent of condition numbers and related problem-dependent quantities. Given a suitable initialization, similar guarantees also hold for strongly convex and smooth objectives without self-concordance. When implemented using randomized projections based on a sub-sampled Hadamard basis, the algorithm typically has substantially lower complexity than Newton's method. We also describe extensions of our methods to programs involving convex constraints that are equipped with self-concordant barriers. We discuss and illustrate applications to linear programs, quadratic programs with convex constraints, logistic regression and other generalized linear models, as well as semidefinite programs.

Citations (262)

Summary

  • The paper demonstrates that Newton Sketch approximates Newton’s method with randomized Hessian projections, significantly reducing computational complexity in high dimensions.
  • It establishes linear-quadratic convergence, ensuring rapid quadratic progress near optimality and robust linear convergence as iterations approach the solution.
  • Numerical experiments in logistic regression and portfolio optimization confirm the method's efficiency and scalability for large-scale convex programs.

Newton Sketch: A Linear-time Optimization Algorithm with Linear-Quadratic Convergence

The paper "Newton Sketch: A Linear-time Optimization Algorithm with Linear-Quadratic Convergence" explores an innovative approach to optimization by introducing a method known as the Newton Sketch. This technique provides a randomized approximation to the classical Newton’s method by utilizing a randomly projected or sub-sampled Hessian to perform an approximate Newton step. The proposed method aims to overcome the computational challenges associated with large-scale optimization problems, particularly when handling datasets with large dimensions.

Key Contributions and Methodology

The Newton Sketch is designed to address the high computational cost of forming the Hessian and solving the linear system in each step of Newton's method, particularly for large (n,d)(n, d), where nn is the number of constraints and dd is the number of dimensions. The paper presents a robust theoretical framework to guarantee the convergence of the Newton Sketch method under certain conditions.

Methodology Overview:

  1. Approximate Newton Step: The method approximates the Hessian matrix using random projections, such as a randomized Hadamard basis, to reduce computational complexity significantly.
  2. Super-linear Convergence: It is demonstrated that for self-concordant functions, the Newton Sketch achieves super-linear convergence with high probability. Moreover, these convergence guarantees are shown to be independent of parameters such as condition numbers, which are often problem-dependent.
  3. Complexity Reduction: The algorithm reduces the per-iteration complexity to (nd2)(n d^2) when using standard randomized projections and potentially lower when specific problem structures allow further dimension reductions through techniques like randomized orthonormal projections.
  4. Generalization to Constraints: The approach is extended to handle programs with convex constraints using self-concordant barriers, thus broadening the applicability of the method to a variety of problems, including linear programs, quadratic programs, and logistic regression.

Theoretical Results and Practical Implications

Convergence Guarantees:

The paper establishes that the Newton Sketch method achieves linear-quadratic convergence, a notable enhancement over traditional first-order methods like gradient descent. This means that the convergence is initially quadratic, enhancing performance significantly when close to the solution, and shifts to linear as the iterates approach the final solution.

Complexity and Scalability:

The Newton Sketch is particularly effective in large-scale settings where either the number of observations (nn) or the dimensions (dd) is much larger than the other. It efficiently reduces computational requirements from O(nd2)O(n d^2) to linear in the input size, typically comparable to first-order methods, making it highly suitable for big data applications.

Numerical Experiments:

Applied to problems like logistic regression and portfolio optimization, the Newton Sketch demonstrates significant reductions in iteration time while preserving convergence rates. The empirical results underline the effectiveness of the method in handling high-dimensional data, demonstrating robustness and efficiency gains across several trials.

Speculations on Future Developments

The paper opens pathways to several future research directions. Firstly, the exploration of different types of sketches, like coordinate or sparse sketches, could further enhance efficiency, particularly for sparse data matrices. Additionally, it would be of interest to analyze the lower bounds on sketch dimensions needed for maintaining convergence independence from strong convexity and smoothness parameters. These theoretical explorations could solidify the Newton Sketch’s practical applicability, making it a staple in optimization techniques for high-dimensional problems.

In conclusion, the Newton Sketch represents a substantial development in the field of optimization, marrying the fast convergence properties of second-order methods with the scalability essential for modern large-scale applications. Its mathematical rigor paired with practical efficiency positions it as a valuable tool in the landscape of optimization algorithms.

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