SDNA: Stochastic Dual Newton Ascent for Empirical Risk Minimization

Zheng Qu, Peter Richtárik, Martin Takác, Olivier Fercoq

Abstract: We propose a new algorithm for minimizing regularized empirical loss: Stochastic Dual Newton Ascent (SDNA). Our method is dual in nature: in each iteration we update a random subset of the dual var...