Stochastic Damped L-BFGS with Controlled Norm of the Hessian Approximation

Sanae Lotfi, Tiphaine Bonniot de Ruisselet, Dominique Orban +1

We propose a new stochastic variance-reduced damped L-BFGS algorithm, where we leverage estimates of bounds on the largest and smallest eigenvalues of the Hessian approximation to…