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math.OC2024
Optimal Shrinkage for Distributed Second-Order Optimization
Fangzhao Zhang, Mert Pilanci
In this work, we address the problem of Hessian inversion bias in distributed second-order optimization algorithms. We introduce a novel shrinkage-based estimator for the resolvent…
math.OC2014★ 32 cited
Iterative Hessian sketch: Fast and accurate solution approximation for constrained least-squares
Mert Pilanci, Martin J. Wainwright
We study randomized sketching methods for approximately solving least-squares problem with a general convex constraint. The quality of a least-squares approximation can be assessed…