Quasi-Newton Methods for Deep Learning: Forget the Past, Just Sample

We present two sampled quasi-Newton methods: sampled LBFGS and sampled LSR1. Contrary to the classical variants of these methods that sequentially build (inverse) Hessian approximations as the optimization progresses, our proposed methods sample points randomly around the current iterate to produce these approximations. As a result, the approximations constructed make use of more reliable (recent … Read more