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  4. Extra Newton: A First Approach to Noise-Adaptive Accelerated Second-Order Methods
 
conference paper not in proceedings

Extra Newton: A First Approach to Noise-Adaptive Accelerated Second-Order Methods

Antonakopoulos, Kimon  
•
Kavis, Ali  
•
Cevher, Volkan  orcid-logo
2022
36th Conference on Neural Information Processing Systems (NeurIPS)

This work proposes a universal and adaptive second-order method for minimizing second-order smooth, convex functions. Our algorithm achieves O(σ/T‾‾√) convergence when the oracle feedback is stochastic with variance σ2, and improves its convergence to O(1/T3) with deterministic oracles, where T is the number of iterations. Our method also interpolates these rates without knowing the nature of the oracle apriori, which is enabled by a parameter-free adaptive step-size that is oblivious to the knowledge of smoothness modulus, variance bounds and the diameter of the constrained set. To our knowledge, this is the first universal algorithm with such global guarantees within the second-order optimization literature.

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Extra-Newton A First Approach to Noise-Adaptive Accelerated Second-Order Methods.pdf

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