Variable Metric Stochastic Approximation Theory

Details Variable Metric Stochastic Approximation Theory Variable Metric Stochastic Approximation Theory

2009-08-25

arxiv.org/abs/0908.3529v1

Proceedings of AISTATS 2009 Clearwater Florida, Volume 5. of JMLR: W&CP 5

Physics

Data Analysis, Statistics and Probability

Correctment of theorem 3.4. from AISTATS 2009 article

Scientific paper

We provide a variable metric stochastic approximation theory. In doing so, we
provide a convergence theory for a large class of online variable metric
methods including the recently introduced online versions of the BFGS algorithm
and its limited-memory LBFGS variant. We also discuss the implications of our
results for learning from expert advice.

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