The Incremental Proximal Method: A Probabilistic Perspective

no code implementations • 12 Jul 2018 • Ömer Deniz Akyildiz, Victor Elvira, Joaquin Miguez

We then carry out this observation to a general sequential setting: We consider the incremental proximal method, which is an algorithm for large-scale optimization, and show that, for a linear-quadratic cost function, it can naturally be realized by the Kalman filter.

regression