Convergence analysis of stochastic gradient descent with adaptive preconditioning for non-convex and convex functions

Abstract: Preconditioning is a crucial operation in gradient-based numerical optimisation. It helps decrease the local condition number of a function by appropriately transforming its gradient. For a convex function, where the gradient can be computed exactly, the optimal linear transformation corresponds to the inverse of the Hessian operator, while the optimal convex transformation is the convex conjugate of the function. Different conditions result in variations of these dependencies. Practical algorithms often employ low-rank or stochastic approximations of the inverse Hessian matrix for preconditioning. However, theoretical guarantees for these algorithms typically lack a justification for the defining property of preconditioning. This paper presents a simple theoretical framework that demonstrates, given a smooth function and an available unbiased stochastic approximation of its gradient, that it is possible to refine the dependency of the convergence rate on the Lipschitz constant of the gradient.