Matrix-Free Preconditioning in Online Learning

29 May 2019Ashok CutkoskyTamas Sarlos

We provide an online convex optimization algorithm with regret that interpolates between the regret of an algorithm using an optimal preconditioning matrix and one using a diagonal preconditioning matrix. Our regret bound is never worse than that obtained by diagonal preconditioning, and in certain setting even surpasses that of algorithms with full-matrix preconditioning... (read more)

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