GO Hessian for Expectation-Based Objectives
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An unbiased low-variance gradient estimator, termed GO gradient, was proposed recently for expectation-based objectives E_q_γ(y) [f(y)], where the random variable (RV) y may be drawn from a stochastic computation graph with continuous (non-reparameterizable) internal nodes and continuous/discrete leaves. Upgrading the GO gradient, we present for E_q_γ(y) [f(y)] an unbiased low-variance Hessian estimator, named GO Hessian. Considering practical implementation, we reveal that GO Hessian is easy-to-use with auto-differentiation and Hessian-vector products, enabling efficient cheap exploitation of curvature information over stochastic computation graphs. As representative examples, we present the GO Hessian for non-reparameterizable gamma and negative binomial RVs/nodes. Based on the GO Hessian, we design a new second-order method for E_q_γ(y) [f(y)], with rigorous experiments conducted to verify its effectiveness and efficiency.
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