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arXiv · 2305.10634

Modified Gauss-Newton Algorithms under Noise

Krishna Pillutla·Vincent Roulet·Sham Kakade·Zaid Harchaoui
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Abstract

Gauss-Newton methods and their stochastic version have been widely used in machine learning and signal processing. Their nonsmooth counterparts, modified Gauss-Newton or prox-linear algorithms, can lead to contrasting outcomes when compared to gradient descent in large-scale statistical settings. We explore the contrasting performance of these two classes of algorithms in theory on a stylized statistical example, and experimentally on learning problems including structured prediction. In theory, we delineate the regime where the quadratic convergence of the modified Gauss-Newton method is active under statistical noise. In the experiments, we underline the versatility of stochastic (sub)-gradient descent to minimize nonsmooth composite objectives.

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Krishna Pillutla, Vincent Roulet, Sham Kakade, Zaid Harchaoui. 2023-05-18. Modified Gauss-Newton Algorithms under Noise. https://arxiv.org/abs/2305.10634

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