Training recurrent networks using the extended Kalman filter

The author describes some relationships between the extended Kalman filter (EKF) as applied to recurrent net learning and some simpler techniques that are more widely used. In particular, making certain simplifications to the EKF gives rise to an algorithm essentially identical to the real-time recurrent learning (RTRL) algorithm. Since the EKF involves adjusting unit activity in the network, it also provides a principled generalization of the teacher forcing technique. Preliminary simulation experiments on simple finite-state Boolean tasks indicated that the EKF can provide substantial speed-up in number of time steps required for training on such problems when compared with simpler online gradient algorithms. The computational requirements of the EKF are steep, but scale with network size at the same rate as RTRL.>