Extended Kalman filter neural network training: experimental results and algorithm improvements
Felix O. Heimes · 2002
It is well known that the extended Kalman filter (EKF) neural network training algorithm is superior to the standard backpropagation algorithm. However, there are many variations on the EKF implementation that can significantly affect its performance. For example, improper initialization of three parameters cause the algorithm to perform poorly. There are also two advanced methods, decoupling and multistreaming, which need to be properly applied based on the specifics of the problem. This paper presents the results of extensive experimentation in applying the EKF training method for recurrent and static neural networks. The goal is to demonstrate how different variations on its implementation effect performance and to find methods to optimize performance. The paper examines the effects of decoupling, multistreaming, and initial values of constants used by the algorithm. Three new ideas are suggested that can lead to improved performance. These ideas are: initializing parameters to values outside the range previously suggested, a new decoupling strategy, and reducing the update rate of the error covariance matrix for faster training.