Hybrid sequential Monte Carlo/Kalman methods to train neural networks in non-stationary environments
We propose a novel sequential algorithm for training neural networks in non-stationary environments. The approach is based on a Monte Carlo method known as the sampling-importance resampling simulation algorithm. We derive our algorithm using a Bayesian framework, which allows us to learn the probability density functions of the network weights and outputs. Consequently, it is possible to compute various statistical estimates including centroids, modes, confidence intervals and kurtosis. The algorithm performs a global search for minima in parameter space by monitoring the errors and gradients at several points in the error surface. This global optimisation strategy is shown to perform better than local optimisation paradigms such as the extended Kalman filter.