Solving Ridge Regression using Sketched Preconditioned SVRG


Alon Gonen, Francesco Orabona, Shai Shalev-Shwartz ;
Proceedings of The 33rd International Conference on Machine Learning, PMLR 48:1397-1405, 2016.


We develop a novel preconditioning method for ridge regression, based on recent linear sketching methods. By equipping Stochastic Variance Reduced Gradient (SVRG) with this preconditioning process, we obtain a significant speed-up relative to fast stochastic methods such as SVRG, SDCA and SAG.

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