Gaussian processes (GPs) play an essential role in biostatistics, scientific machine learning, and Bayesian optimization for their ability to provide probabilistic predictions and model uncertainty. However, GP inference struggles to scale to large datasets (which are common in modern applications), since it requires the solution of a linear system whose size scales quadratically with the number of samples in the dataset. We propose an approximate, distributed, accelerated sketch-and-project algorithm ($\texttt{ADASAP}$) for solving these linear systems, which improves scalability. We use the theory of determinantal point processes to show that the posterior mean induced by sketch-and-project rapidly converges to the true posterior mean. In particular, this yields the first efficient, condition number-free algorithm for estimating the posterior mean along the top spectral basis functions, showing that our approach is principled for GP inference. $\texttt{ADASAP}$ outperforms state-of-the-art solvers based on conjugate gradient and coordinate descent across several benchmark datasets and a large-scale Bayesian optimization task. Moreover, $\texttt{ADASAP}$ scales to a dataset with $> 3 \cdot 10^8$ samples, a feat which has not been accomplished in the literature.

This paper explores challenges in training Physics-Informed Neural Networks (PINNs), emphasizing the role of the loss landscape in the training process. We examine difficulties in minimizing the PINN loss function, particularly due to ill-conditioning caused by differential operators in the residual term. We compare gradient-based optimizers Adam, L-BFGS, and their combination Adam+L-BFGS, showing the superiority of Adam+L-BFGS, and introduce a novel second-order optimizer, NysNewton-CG (NNCG), which significantly improves PINN performance. Theoretically, our work elucidates the connection between ill-conditioned differential operators and ill-conditioning in the PINN loss and shows the benefits of combining first- and second-order optimization methods. Our work presents valuable insights and more powerful optimization strategies for training PINNs, which could improve the utility of PINNs for solving difficult partial differential equations.

Ill-conditioned problems are ubiquitous in large-scale machine learning: as a data set grows to include more and more features correlated with the labels, the condition number increases. Yet traditional stochastic gradient methods converge slowly on these ill-conditioned problems, even with careful hyperparameter tuning. This paper introduces PROMISE (Preconditioned Stochastic Optimization Methods by Incorporating Scalable Curvature Estimates), a suite of sketching-based preconditioned stochastic gradient algorithms that deliver fast convergence on ill-conditioned large-scale convex optimization problems arising in machine learning. PROMISE includes preconditioned versions of SVRG, SAGA, and Katyusha; each algorithm comes with a strong theoretical analysis and effective default hyperparameter values. Empirically, we verify the superiority of the proposed algorithms by showing that, using default hyperparameter values, they outperform or match popular tuned stochastic gradient optimizers on a test bed of 51 ridge and logistic regression problems assembled from benchmark machine learning repositories. On the theoretical side, this paper introduces the notion of quadratic regularity in order to establish linear convergence of all proposed methods even when the preconditioner is updated infrequently. The speed of linear convergence is determined by the quadratic regularity ratio, which often provides a tighter bound on the convergence rate compared to the condition number, both in theory and in practice, and explains the fast global linear convergence of the proposed methods.