Develops a batch-free online covariance estimator for sketched Newton methods, proves its consistency, and demonstrates use for online statistical inference on regression and CUTEst problems.
Thus, for t ≥ t0, we have E[Ft+1 − F ⋆ | F t−1] ≤ Ft − F ⋆ − 1 4ΥH βt∥∇Ft∥2 + 4ΥH C1/2 g,2 γ2 H χ2 t βt + η2 t
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Online Covariance Matrix Estimation in Sketched Newton Methods
Develops a batch-free online covariance estimator for sketched Newton methods, proves its consistency, and demonstrates use for online statistical inference on regression and CUTEst problems.