Projection Dual Averaging Based Second-order Online Learning

Most existing online learning methods focus on mining ever-evolving streaming data based on the principle of first-order optimization. However, one drawback of these methods is the slow convergence rate in each iteration, resulting in sub-optimal solutions and deteriorated performance. Second-order methods, while are able to provide faster convergence, have been under-studied due to the high cost of computing the curvature information. To address this problem, in this paper, we develop a second-order projection dual averaging based online learning (SPDA) method to effectively handle high-throughput streaming data. By fully exploiting the regularized dual averaging optimization, the second-order information, and an optimal projection operator, SPDA converges fast with fairly optimal solutions. Two speed-up versions of SPDA, i.e., SPDA-diag and SPDA-sketch, are developed via the diagonal operator and Hessian sketch, respectively. Theoretical derivations on the regret bound of SPDA establish a solid convergence guarantee for this method. Extensive experiments demonstrate the efficacy of the proposed algorithms on large-scale online learning tasks, such as online binary and multi-class classification and online anomaly detection, shedding light on their potential wide applications.