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.
1In fact, ϕ < 0 is only required by Lemma B.3(b) in Na and Mahoney (2022), and the statements in Lemma B.3(a) hold for any constant ϕ
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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.