The recursive variational Gaussian approximation (R-VGA)

DOI10.1007/s11222-021-10068-wzbMath1477.62012OpenAlexW4206593053MaRDI QIDQ2066753

Silvère Bonnabel, Francis Bach, Marc Lambert

Publication date: 14 January 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/hal-03086627v2/file/RVGA-HAL-v2.pdf

zbMATH Keywords

Kalman filteronline optimizationvariational approximationBayesian logistic regression

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Filtering in stochastic control theory (93E11) Stochastic approximation (62L20)

Related Items (3)

Variational Gaussian approximation of the Kushner optimal filter ⋮ The limited-memory recursive variational Gaussian approximation (L-RVGA) ⋮ Stochastic variational inference for GARCH models

Uses Software

• Vprop
• PRMLT

Cites Work

• Minimizing finite sums with the stochastic average gradient
• Logarithmic regret algorithms for online convex optimization
• Online natural gradient as a Kalman filter
• Infinite-dimensional gradient-based descent for alpha-divergence minimisation
• Random gradient-free minimization of convex functions
• Online Model Selection Based on the Variational Bayes
• Graphical Models, Exponential Families, and Variational Inference
• Variational Bayesian Filtering
• Incremental Least Squares Methods and the Extended Kalman Filter
• A Stochastic Approximation Method
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