Stochastic Newton and quasi-Newton Methods for Large-Scale Convex and Non-Convex Optimization
Speaker:
Donald Goldfarb, Columbia University
Date and Time:
Friday, June 3, 2016 - 2:00pm to 2:30pm
Location:
Fields Institute, Room 230
Abstract:
We present Newton-like and quasi-Newton methods for both convex and non-convex optimization problems whose objective functions can be expressed as the sum of a huge number of functions in an extremely large number of variables. In particular, we propose new ways to use the BFGS and limited memory BFGS updating methods in this setting. We present numerical results on standard test problems from machine learning.