higrad: Statistical Inference for Online Learning and Stochastic Approximation via HiGrad

Implements the Hierarchical Incremental GRAdient Descent (HiGrad) algorithm, a first-order algorithm for finding the minimizer of a function in online learning just like stochastic gradient descent (SGD). In addition, this method attaches a confidence interval to assess the uncertainty of its predictions. See Su and Zhu (2018) <arXiv:1802.04876> for details.

Getting started

Package details

AuthorWeijie Su [aut], Yuancheng Zhu [aut, cre]
MaintainerYuancheng Zhu <yuancheng.zhu@gmail.com>
Package repositoryView on CRAN
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higrad documentation built on May 1, 2019, 7:32 p.m.