Home Page

Papers

Submissions

News

Scope

Editorial Board

Announcements

Proceedings

Open Source Software

Search

Login



RSS Feed

Variable Metric Stochastic Approximation Theory

Peter Sunehag, Jochen Trumpf, S.V.N. Vishwanathan, Nicol Schraudolph; JMLR W&CP 5:560-566, 2009.

Abstract

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 elicitation of properties of distributions using prediction markets and in learning from expert advice.



Home Page

Papers

Submissions

News

Scope

Editorial Board

Announcements

Proceedings

Open Source Software

Search

Login



RSS Feed

Page last modified on Fri Apr 3 20:30:46 BST 2009.

Copyright @ JMLR 2000. All rights reserved.