Mathematical & Statistical Methods
A Damped Newton Method Achieves Global O null 1 k 2 null and Local Quadratic Convergence Rate
Newton method of Polyak and Nesterov (2006) and of regularized Newton method of Mishchenko (2021) and Doikov and Nesterov (2021), b) we prove a local quadratic rate, which matches the best-known local rate of second-order methods, and c) our stepsize formula is simple, explicit, and does not require solving any subproblem.
Supplementary material
Theorem A.1 (Deterministic scaling limit of stochastic processes) . The reader interested in the proof is referred to the supplementary materials of [21, 31]. Although the theorem wasn't originally proven in the A.1 corresponds to 1 /δt, where δt is defined in Theorem 2.1. Before proving this proposition, we begin with a small lemma: Lemma B.2. We are now in a position to show Theorem B.1: 16 Proof.
I Background in Linear Algebra
In this section we state some elementary results that we will use for our main proofs. The next Lemma is part of the proof of [44, Lemma 4.2], which we state here as a separate result to save some space from the longer proofs that follow later. This is part of the proof of [44, Lemma 4.2]. In this section we specialize the definitions to the case of Gaussian matrices. Lemma 7. Let n 1 be an integer, and δ (0, 1/2) .