The recursive variational Gaussian approximation (R-VGA)
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Publication:2066753
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
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
Cites Work
- Minimizing finite sums with the stochastic average gradient
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