Efficient calculation of the gauss-newton approximation of the hessian matrix in neural networks

  • Authors:
  • Michael Fairbank;Eduardo Alonso

  • Affiliations:
  • -;-

  • Venue:
  • Neural Computation
  • Year:
  • 2012

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Abstract

The Levenberg-Marquardt (LM) learning algorithm is a popular algorithm for training neural networks; however, for large neural networks, it becomes prohibitively expensive in terms of running time and memory requirements. The most time-critical step of the algorithm is the calculation of the Gauss-Newton matrix, which is formed by multiplying two large Jacobian matrices together. We propose a method that uses backpropagation to reduce the time of this matrix-matrix multiplication. This reduces the overall asymptotic running time of the LM algorithm by a factor of the order of the number of output nodes in the neural network.