One-step corrected projected stochastic gradient descent for statistical estimation

• URL: http://arxiv.org/abs/2306.05896v2
• Date: Sat, 13 Apr 2024 13:17:27 GMT
• Title: One-step corrected projected stochastic gradient descent for statistical estimation
• Authors: Alexandre Brouste, Youssef Esstafa,
• Abstract summary: It is based on the projected gradient descent on the log-likelihood function corrected by a single step of the Fisher scoring algorithm. We show theoretically and by simulations that it is an interesting alternative to the usual gradient descent with averaging or the adaptative gradient descent.
• Score: 49.1574468325115
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: A generic, fast and asymptotically efficient method for parametric estimation is described. It is based on the projected stochastic gradient descent on the log-likelihood function corrected by a single step of the Fisher scoring algorithm. We show theoretically and by simulations that it is an interesting alternative to the usual stochastic gradient descent with averaging or the adaptative stochastic gradient descent.

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