An Efficient and Effective Second-Order Training Algorithm for LSTM-based Adaptive Learning

Abstract: We study adaptive (or online) nonlinear regression with Long-Short-Term-Memory (LSTM) based networks, i.e., LSTM-based adaptive learning. In this context, we introduce an efficient Extended Kalman filter (EKF) based second-order training algorithm. Our algorithm is truly online, i.e., it does not assume any underlying data generating process and future information, except that the target sequence is bounded. Through an extensive set of experiments, we demonstrate significant performance gains achieved by our algorithm with respect to the state-of-the-art methods. Here, we mainly show that our algorithm consistently provides 10 to 45\% improvement in the accuracy compared to the widely-used adaptive methods Adam, RMSprop, and DEKF, and comparable performance to EKF with a 10 to 15 times reduction in the run-time.