Online natural gradient as a Kalman filter

@article{Ollivier2017OnlineNG,
  title={Online natural gradient as a Kalman filter},
  author={Y. Ollivier},
  journal={Electronic Journal of Statistics},
  year={2017},
  volume={12},
  pages={2930-2961}
}
  • Y. Ollivier
  • Published 2017
  • Computer Science, Mathematics
  • Electronic Journal of Statistics
We establish a full relationship between Kalman filtering and Amari's natural gradient in statistical learning. Namely, using an online natural gradient descent on data log-likelihood to evaluate the parameter of a probabilistic model from a series of observations, is exactly equivalent to using an extended Kalman filter to estimate the parameter (assumed to have constant dynamics). In the i.i.d. case, this relation is a consequence of the "information filter" phrasing of the extended Kalman… Expand
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