### A Proximal Stochastic Quasi-Newton Algorithm

**2016-01-31**

1602.00223 | cs.LG

In this paper, we discuss the problem of minimizing the sum of two convex
functions: a smooth function plus a non-smooth function. Further, the smooth
part can be expressed by the average of a large number of smooth component
functions, and the non-smooth part is equipped with a simple proximal mapping.
We propose a proximal stochastic second-order method, which is efficient and
scalable. It incorporates the Hessian in the smooth part of the function and
exploits multistage scheme to reduce the variance of the stochastic gradient.
We prove that our method can achieve linear rate of convergence.

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