Laboratoire de Mathématiques Raphaël Salem

UMR 6085 CNRS - Université de Rouen Normandie

This work addresses second-order stochastic optimization for estimating the minimizer of a convex function written as an expectation. A direct recursive estimation technique for the inverse Hessian matrix using a Robbins-Monro procedure is introduced. This approach enables to drastically reduces computational complexity. Above all, it allows to develop universal stochastic Newton methods and investigate the asymptotic efficiency of the proposed approach.