Finito: A faster, permutable incremental gradient method for big data problems

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Aaron Defazio, Justin Domke, Caetano ;
Proceedings of the 31st International Conference on Machine Learning, PMLR 32(2):1125-1133, 2014.

Abstract

Recent advances in optimization theory have shown that smooth strongly convex finite sums can be minimized faster than by treating them as a black box "batch" problem. In this work we introduce a new method in this class with a theoretical convergence rate four times faster than existing methods, for sums with sufficiently many terms. This method is also amendable to a sampling without replacement scheme that in practice gives further speed-ups. We give empirical results showing state of the art performance.

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