A stochastic quasi-Newton method that learns the Hessian via Gaussian process regression from noisy gradient differences, combined with a stochastic Armijo line search, is demonstrated on nonlinear system identification benchmarks.
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Stochastic quasi-Newton with line-search regularization
A stochastic quasi-Newton method that learns the Hessian via Gaussian process regression from noisy gradient differences, combined with a stochastic Armijo line search, is demonstrated on nonlinear system identification benchmarks.