3 ms·
People who're familiar with Newton's method might be surprised at the convergence rate. 1/k^2 is slower than the textbook rate for Newton's method with line sea
by rahimiali 5y ago
People who're familiar with Newton's method might be surprised at the convergence rate. 1/k^2 is slower than the textbook rate for Newton's method with line search, which is 2^{-2^k}, basically implying convergence in a constant number of steps. The rate in this paper seems to be no faster than plain gradient descent on a strongly convex function! So why go through the trouble of the much more complicated update?
Because the textbook proof of the fast convergence of Newton's method make additional assumptions on the objective function, for example that it is strongly convex, or it is self concordant. This paper only assumes Lipschitz continuous Hessians.
The idea of dampening the Hessian is old (it's sometimes called "damped newton method", or "trust region newton method", or "levenberg-marquardt", though the latter two refer to more specific ideas). This paper offers a view to how much dampening to apply.
- civilized 5y agoThere are two kinds of convergence proofs - the ones that get you a 1/k or 1/k^2 rate, and the ones that get you "linear" or "superlinear" convergence (which is optimization jargon for exponential/superexponential decay of the error). The latter require way too strong of assumptions to be that useful in practice, and we generally think of them as just "local" convergence theorems - i.e. the assumptions they make start to be true when you get close enough to the minimum, and the fast convergence kicks in at that point. Which is nice, but getting close enough in the first place is often 99% of the problem!