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Finito: A Faster, Permutable Incremental Gradient Method for Big Data Problems

lib:c368b844114b708e (v1.0.0)

Authors: Aaron J. Defazio,Tibério S. Caetano,Justin Domke
ArXiv: 1407.2710
Document:  PDF  DOI 
Abstract URL: http://arxiv.org/abs/1407.2710v1

Recent advances in optimization theory have shown that smooth strongly convex finite sums can be minimized faster than by treating them as a black box "batch" problem. In this work we introduce a new method in this class with a theoretical convergence rate four times faster than existing methods, for sums with sufficiently many terms. This method is also amendable to a sampling without replacement scheme that in practice gives further speed-ups. We give empirical results showing state of the art performance.

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