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This topic has been discussed at some length on Cross Validated (aka stats.stackexchange) and Reddit: Why is Newton's method not widely used in machine learning? (see in particular Nick Alger's answer) Why use gradient descent with neural networks? L-BFGS and neural nets Why second order SGD convergence methods are unpopular for deep learning? How does the ...


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You should use a modeling language so that your code is independent of the underlying solver. cvxpy is a good choice. When I rewrite your model in cvxpy: #!/usr/bin/env python3 import cvxpy as cp import numpy as np from numpy.random import normal as randn Sample = 10 H = randn(size=(4,2,Sample))+1j*randn(size=(4,2,Sample)) h = randn(size=(4,1))+1j*randn(...


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