This report investigates the fitting of the Hessian or its inverse for stochastic optimizations using a Hessian fitting criterion derived from the preconditioned stochastic gradient descent (PSGD) method. This criterion is closely related to many widely used second-order and adaptive gradient optimization methods, including BFGS, the Gauss-Newton algorithm, natural gradient descent, and AdaGrad. Our analyses reveal the efficiency and reliability differences of a broad range of preconditioner fitting methods, ranging from closed-form to iterative approaches, using Hessian-vector products or stochastic gradients only, with Hessian fittings across various geometric settings (the Euclidean space, the manifold of symmetric positive definite (SPD) matrices, and a variety of Lie groups). The most intriguing finding is that the Hessian fitting problem is strongly convex under mild conditions in certain general Lie groups. This result turns the Hessian fitting into a well-behaved Lie group optimization problem and facilitates the design of highly efficient and elegant Lie group sparse preconditioner fitting methods for large-scale stochastic optimizations.

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