Newton-MR: Inexact Newton Method With Minimum Residual Sub-problem Solver

We consider a variant of inexact Newton Method, called Newton-MR, in which the least-squares sub-problems are solved approximately using Minimum Residual method. By construction, Newton-MR can be readily applied for unconstrained optimization of a class of non-convex problems known as invex, which subsumes convexity as a sub-class. For invex optimization, instead of the classical Lipschitz continuity assumptions on gradient and Hessian, Newton-MR's global convergence can be guaranteed under a weaker notion of joint regularity of Hessian and gradient. We also obtain Newton-MR's problem-independent local convergence to the set of minima. We show that fast local/global convergence can be guaranteed under a novel inexactness condition, which, to our knowledge, is much weaker than the prior related works. Numerical results demonstrate the performance of Newton-MR as compared with several other Newton-type alternatives on a few machine learning problems.Comment: 35 page

RISE: An Incremental Trust-Region Method for Robust Online Sparse Least-Squares Estimation

Many point estimation problems in robotics, computer vision, and machine learning can be formulated as instances of the general problem of minimizing a sparse nonlinear sum-of-squares objective function. For inference problems of this type, each input datum gives rise to a summand in the objective function, and therefore performing online inference corresponds to solving a sequence of sparse nonlinear least-squares minimization problems in which additional summands are added to the objective function over time. In this paper, we present Robust Incremental least-Squares Estimation (RISE), an incrementalized version of the Powell's Dog-Leg numerical optimization method suitable for use in online sequential sparse least-squares minimization. As a trust-region method, RISE is naturally robust to objective function nonlinearity and numerical ill-conditioning and is provably globally convergent for a broad class of inferential cost functions (twice-continuously differentiable functions with bounded sublevel sets). Consequently, RISE maintains the speed of current state-of-the-art online sparse least-squares methods while providing superior reliability.United States. Office of Naval Research (Grant N00014-12-1-0093)United States. Office of Naval Research (Grant N00014-11-1-0688)United States. Office of Naval Research (Grant N00014-06-1-0043)United States. Office of Naval Research (Grant N00014-10-1-0936)United States. Air Force Research Laboratory (Contract FA8650-11-C-7137

Optimization Methods for Inverse Problems

Optimization plays an important role in solving many inverse problems. Indeed, the task of inversion often either involves or is fully cast as a solution of an optimization problem. In this light, the mere non-linear, non-convex, and large-scale nature of many of these inversions gives rise to some very challenging optimization problems. The inverse problem community has long been developing various techniques for solving such optimization tasks. However, other, seemingly disjoint communities, such as that of machine learning, have developed, almost in parallel, interesting alternative methods which might have stayed under the radar of the inverse problem community. In this survey, we aim to change that. In doing so, we first discuss current state-of-the-art optimization methods widely used in inverse problems. We then survey recent related advances in addressing similar challenges in problems faced by the machine learning community, and discuss their potential advantages for solving inverse problems. By highlighting the similarities among the optimization challenges faced by the inverse problem and the machine learning communities, we hope that this survey can serve as a bridge in bringing together these two communities and encourage cross fertilization of ideas.Comment: 13 page