Modular Block-diagonal Curvature Approximations for Feedforward Architectures


Felix Dangel, Stefan Harmeling, Philipp Hennig ;
Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics, PMLR 108:799-808, 2020.


We propose a modular extension of backpropagation for the computation of block-diagonal approximations to various curvature matrices of the training objective (in particular, the Hessian, generalized Gauss-Newton, and positive-curvature Hessian). The approach reduces the otherwise tedious manual derivation of these matrices into local modules, and is easy to integrate into existing machine learning libraries. Moreover, we develop a compact notation derived from matrix differential calculus. We outline different strategies applicable to our method. They subsume recently-proposed block-diagonal approximations as special cases, and are extended to convolutional neural networks in this work.

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