My question concerns a specific statement in this paper:

Schraudolph and Graepel address the problem that in stochastic settings of ill-conditioned problems the sampled estimate of the gradient is very unlikely to point in the right direction due to the ill-conditioning of the (estimated) Hessian.

In Chapter 3, the authors claim that directions associated with large eigenvalues of the Hessian (directions of large curvature) can be identified by multiplying the stochastic estimates of Hessian $H$ and gradient $g$.

I don't understand this argument. What point am I missing?


Your Answer

By clicking "Post Your Answer", you acknowledge that you have read our updated terms of service, privacy policy and cookie policy, and that your continued use of the website is subject to these policies.

Browse other questions tagged or ask your own question.