Papers › Second-Order Stochastic Optimization for Machine Learning in Linear Time

Second-Order Stochastic Optimization for Machine Learning in Linear Time

12 Feb 2016arXiv:1602.03943archive 2025-07-28

Naman Agarwal, Brian Bullins, Elad Hazan

First-order stochastic methods are the state-of-the-art in large-scale machine learning optimization owing to efficient per-iteration complexity. Second-order methods, while able to provide faster convergence, have been much less explored due to the high cost of computing the second-order information. In this paper we develop second-order stochastic methods for optimization problems in machine learning that match the per-iteration cost of gradient based methods, and in certain settings improve upon the overall running time over popular first-order methods. Furthermore, our algorithm has the desirable property of being implementable in time linear in the sparsity of the input data.

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brianbullins/lissa_code officialmentioned in paper report
alstonlo/torch-influence mentioned on GitHubpytorch report
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BIG-bench Machine LearningSecond-order methodsStochastic Optimization

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