Neon2: Finding Local Minima via First-Order Oracles
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We propose a reduction for non-convex optimization that can (1) turn a stationary-point finding algorithm into a local-minimum finding one, and (2) replace the Hessian-vector product computations with only gradient computations. It works both in the stochastic and the deterministic settings, without hurting the algorithm's performance. As applications, our reduction turns Natasha2 into a first-order method without hurting its performance. It also converts SGD, GD, SCSG, and SVRG into local-minimum finding algorithms outperforming some best known results.
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