The slow convergence rate and pathological curvature issues of first-order gradient methods for training deep neural networks, initiated an ongoing effort for developing faster $mathit{second}$-$mathit{order}$ optimization algorithms beyond SGD, without compromising the generalization error. Despite their remarkable convergence rate ($mathit{independent}$ of the training batch size $n$), second-order algorithms incur a daunting slowdown in the $mathit{cost}$ $mathit{per}$ $mathit{iteration}$ (inverting the Hessian matrix of the loss function), which renders them impractical. Very recently, this computational overhead was mitigated by the works of [ZMG19,CGH+19}, yielding an $O(mn^2)$-time second-order algorithm for training two-layer overparametrized neural networks of polynomial width $m$. We show how to speed up the algorithm of [CGH+19], achieving an $tilde{O}(mn)$-time backpropagation algorithm for training (mildly overparametrized) ReLU networks, which is near-linear in the dimension ($mn$) of the full gradient (Jacobian) matrix. The centerpiece of our algorithm is to reformulate the Gauss-Newton iteration as an $ell_2$-regression problem, and then use a Fast-JL type dimension reduction to $mathit{precondition}$ the underlying Gram matrix in time independent of $M$, allowing to find a sufficiently good approximate solution via $mathit{first}$-$mathit{order}$ conjugate gradient. Our result provides a proof-of-concept that advanced machinery from randomized linear algebra -- which led to recent breakthroughs in $mathit{convex}$ $mathit{optimization}$ (ERM, LPs, Regression) -- can be carried over to the realm of deep learning as well.
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