Sub-sampled Newton Methods with Non-uniform Sampling

Peng Xu, Jiyan Yang, Farbod Roosta-Khorasani +2

We consider the problem of finding the minimizer of a convex function $F:{\mathbb{R}}^d\to \mathbb{R}$ of the form $F(w):={\sum }_{i=1}^n{f}_i(w)+R(w)$ where a low-rank facto…