Affine-Invariant Online Optimization and the Low-rank Experts Problem

ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 30 (NIPS 2017), pp. 4750-4758, 2017.

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Abstract:

We present a new affine-invariant optimization algorithm called Online Lazy Newton. The regret of Online Lazy Newton is independent of conditioning: the algorithm's performance depends on the best possible preconditioning of the problem in retrospect and on its intrinsic dimensionality. As an application, we show how Online Lazy Newton ca...More

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