Web: http://arxiv.org/abs/2104.12949

June 23, 2022, 1:12 a.m. | Michael C. Burkhart

stat.ML updates on arXiv.org arxiv.org

To minimize the average of a set of log-convex functions, the stochastic
Newton method iteratively updates its estimate using subsampled versions of the
full objective's gradient and Hessian. We contextualize this optimization
problem as sequential Bayesian inference on a latent state-space model with a
discriminatively-specified observation process. Applying Bayesian filtering
then yields a novel optimization algorithm that considers the entire history of
gradients and Hessians when forming an update. We establish matrix-based
conditions under which the effect of older observations …

arxiv bayesian filtering ml stochastic

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