QNG: A Quasi-Natural Gradient Method for Large-Scale Statistical Learning

DOI10.1137/20M1376753zbMath1489.90059OpenAlexW4221072815MaRDI QIDQ5067429

Xiaoyu He, Chuan Chen, Yuren Zhou, Zibin Zheng

Publication date: 1 April 2022

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m1376753

zbMATH Keywords

Fisher information matrixstatistical learningnatural gradientlarge-scale stochastic optimization

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15) Methods of quasi-Newton type (90C53)

Uses Software

• L-BFGS
• PMTK

Cites Work

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• A Stochastic Quasi-Newton Method for Large-Scale Optimization
• On the limited memory BFGS method for large scale optimization
• Global Convergence of Online Limited Memory BFGS
• Updating Quasi-Newton Matrices with Limited Storage
• Optimization Methods for Large-Scale Machine Learning
• Information-Theoretic Lower Bounds on the Oracle Complexity of Stochastic Convex Optimization
• Stochastic Quasi-Newton Methods for Nonconvex Stochastic Optimization
• A Stochastic Approximation Method
• Optimization
• Benchmarking optimization software with performance profiles.

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