ADLER -- An efficient Hessian-based strategy for adaptive learning rate

Abstract: We derive a sound positive semi-definite approximation of the Hessian of deep models for which Hessian-vector products are easily computable. This enables us to provide an adaptive SGD learning rate strategy based on the minimization of the local quadratic approximation, which requires just twice the computation of a single SGD run, but performs comparably with grid search on SGD learning rates on different model architectures (CNN with and without residual connections) on classification tasks. We also compare the novel approximation with the Gauss-Newton approximation.