SGD with Partial Hessian for Deep Neural Networks Optimization

Due to the effectiveness of second-order algorithms in solving classical optimization problems, designing second-order optimizers to train deep neural networks (DNNs) has attracted much research interest in recent years. However, because of the very high dimension of intermediate features in DNNs, it is difficult to directly compute and store the Hessian matrix for network optimization. Most of the previous second-order methods approximate the Hessian information imprecisely, resulting in unstable performance. In this work, we propose a compound optimizer, which is a combination of a second-order optimizer with a precise partial Hessian matrix for updating channel-wise parameters and the first-order stochastic gradient descent (SGD) optimizer for updating the other parameters. We show that the associated Hessian matrices of channel-wise parameters are diagonal and can be extracted directly and precisely from Hessian-free methods. The proposed method, namely SGD with Partial Hessian (SGD-PH), inherits the advantages of both first-order and second-order optimizers. Compared with first-order optimizers, it adopts a certain amount of information from the Hessian matrix to assist optimization, while compared with the existing second-order optimizers, it keeps the good generalization performance of first-order optimizers. Experiments on image classification tasks demonstrate the effectiveness of our proposed optimizer SGD-PH. The code is publicly available at \url{https://github.com/myingysun/SGDPH}.