On derivation of stagewise second-order backpropagation by invariant imbedding for multi-stage neural-network learning

We present a simple, intuitive argument based on "invariant imbedding" in the spirit of dynamic programming to derive a stagewise second-order backpropagation (BP) algorithm. The method evaluates the Hessian matrix of a general objective function efficiently by exploiting the multistage structure embedded in a given neural-network model such as a multilayer perceptron (MLP). In consequence, for instance, our stagewise BP can compute the full Hessian matrix "faster" than the standard method that evaluates the Gauss-Newton Hessian matrix alone by rank updates in nonlinear least squares learning. Through our derivation, we also show how the procedure serves to develop advanced learning algorithms; in particular, we explain how the introduction of "stage costs" leads to alternative systematic implementations of multi-task learning and weight decay.