Stochastic Online Optimization using Kalman Recursion

02/10/2020

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by   Joseph De Vilmarest, et al.

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We study the Extended Kalman Filter in constant dynamics, offering a bayesian perspective of stochastic optimization. We obtain high probability bounds on the cumulative excess risk in an unconstrained setting. The unconstrained challenge is tackled through a two-phase analysis. First, for linear and logistic regressions, we prove that the algorithm enters a local phase where the estimate stays in a small region around the optimum. We provide explicit bounds with high probability on this convergence time. Second, for generalized linear regressions, we provide a martingale analysis of the excess risk in the local phase, improving existing ones in bounded stochastic optimization. The EKF appears as a parameter-free O(d^2) online algorithm that optimally solves some unconstrained optimization problems.