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.
Kernel ridge regression (KRR) is a standard method for performing non-parametric regression over reproducing kernel Hilbert spaces. Given n samples, the time and space complexity of computing the KRR estimate scale as O(n 3 ) and O(n 2 ) respectively, and so is prohibitive in many cases. We propose approximations of KRR based on m-dimensional randomized sketches of the kernel matrix, and study how small the projection dimension m can be chosen while still preserving minimax optimality of the approximate KRR estimate. For various classes of randomized sketches, including those based on Gaussian and randomized Hadamard matrices, we prove that it suffices to choose the sketch dimension m proportional to the statistical dimension (modulo logarithmic factors). Thus, we obtain fast and minimax optimal approximations to the KRR estimate for non-parametric regression.
Random projection (RP) is a classical technique for reducing storage and computational costs. We analyze RP-based approximations of convex programs, in which the original optimization problem is approximated by the solution of a lower-dimensional problem. Such dimensionality reduction is essential in computation-limited settings, since the complexity of general convex programming can be quite high (e.g., cubic for quadratic programs, and substantially higher for semidefinite programs). In addition to computational savings, random projection is also useful for reducing memory usage, and has useful properties for privacy-sensitive optimization. We prove that the approximation ratio of this procedure can be bounded in terms of the geometry of constraint set. For a broad class of random projections, including those based on various sub-Gaussian distributions as well as randomized Hadamard and Fourier transforms, the data matrix defining the cost function can be projected down to the statistical dimension of the tangent cone of the constraints at the original solution, which is often substantially smaller than the original dimension. We illustrate consequences of our theory for various cases, including unconstrained and ℓ 1 -constrained least squares, support vector machines, low-rank matrix estimation, and discuss implications on privacy-sensitive optimization and some connections with denoising and compressed sensing.
Abstract-A novel approach is proposed to provide robust and accurate estimates for linear regression problems when both the measurement vector and the coefficient matrix are structured and subject to errors or uncertainty. A new analytic formulation is developed in terms of the gradient flow of the residual norm to analyze and provide estimates to the regression. The presented analysis enables us to establish theoretical performance guarantees to compare with existing methods and also offers a criterion to choose the regularization parameter autonomously. Theoretical results and simulations in applications such as blind identification, multiple frequency estimation and deconvolution show that the proposed technique outperforms alternative methods in mean-squared error for a significant range of signal-to-noise ratio values.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
customersupport@researchsolutions.com
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.