A Formalization of the Natural Gradient Method for General Similarity Measures

Abstract

In optimization, the natural gradient method is well-known for likelihood maximization. The method uses the Kullback–Leibler (KL) divergence, corresponding infinitesimally to the Fisher–Rao metric, which is pulled back to the parameter space of a family of probability distributions. This way, gradients with respect to the parameters respect the Fisher–Rao geometry of the space of distributions, which might differ vastly from the standard Euclidean geometry of the parameter space, often leading to faster convergence. The concept of natural gradient has in most discussions been restricted to the KL-divergence/Fisher–Rao case, although in information geometry the local $C^2$ structure of a general divergence has been used for deriving a closely related Riemannian metric analogous to the KL-divergence case. In this work, we wish to cast natural gradients into this more general context and provide example computations, notably in the case of a Finsler metric and the p-Wasserstein metric. We additionally discuss connections between the natural gradient method and multiple other optimization techniques in the literature.