Randomized Block Cubic Newton Method

Nikita Doikov, Peter Richtárik

Research output: Contribution to conferencePaperpeer-review

Abstract

We study the problem of minimizing the sum of three convex functions: a differentiable, twice-differentiable and a non-smooth term in a high dimensional setting. To this effect we propose and analyze a randomized block cubic Newton (RBCN) method, which in each iteration builds a model of the objective function formed as the sum of the natural models of its three components: a linear model with a quadratic regularizer for the differentiable term, a quadratic model with a cubic regularizer for the twice differentiable term, and perfect (proximal) model for the nonsmooth term. Our method in each iteration minimizes the model over a random subset of blocks of the search variable. RBCN is the first algorithm with these properties, generalizing several existing methods, matching the best known bounds in all special cases. We establish ${\cal O}(1/\epsilon)$, ${\cal O}(1/\sqrt{\epsilon})$ and ${\cal O}(\log (1/\epsilon))$ rates under different assumptions on the component functions. Lastly, we show numerically that our method outperforms the state-of-the-art on a variety of machine learning problems, including cubically regularized least-squares, logistic regression with constraints, and Poisson regression.
Original languageEnglish
Publication statusAccepted/In press - 11 May 2018
EventThirty-fifth International Conference on Machine Learning - Stockholmsmässan, Stockholm, Sweden
Duration: 10 Jul 201815 Jul 2018
https://icml.cc/
https://icml.cc/

Conference

ConferenceThirty-fifth International Conference on Machine Learning
Abbreviated titleICML 2018
Country/TerritorySweden
CityStockholm
Period10/07/1815/07/18
Internet address

Keywords

  • math.OC

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