Variable Metric Stochastic Approximation Theory
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چکیده
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 in the areas of eliciting properties of distributions using prediction markets and in learning from expert advice.
منابع مشابه
Variable Metric Stochastic Approximation Theory
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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تاریخ انتشار 2009