Multiple Greedy Quasi-Newton Methods for Saddle Point Problems
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Abstract (arXiv)
This paper introduces the Multiple Greedy Quasi-Newton (MGSR1-SP) method, a novel approach to solving strongly-convex-strongly-concave (SCSC) saddle point problems. Our method enhances the approximation of the squared indefinite Hessian matrix inherent in these problems, significantly improving both stability and efficiency through iterative greedy updates. We provide a thorough theoretical analysis of MGSR1-SP, demonstrating its linear-quadratic convergence rate. Numerical experiments conducted on AUC maximization and adversarial debiasing problems, compared with state-of-the-art algorithms, underscore our method's enhanced convergence rate. These results affirm the potential of MGSR1-SP to improve performance across a broad spectrum of machine learning applications where efficient and accurate Hessian approximations are crucial.
Key facts. Cited by 3 papers in the map (data through 7 Oct 2026). Builds on 33 of its 62 references that are in the map. First posted on arXiv 1 Aug 2024.
Builds on
33 of 62 references.
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3 papers.
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