Efficient online learning with improved LSTM neural networks

We introduce efficient online learning algorithms based on the Long Short Term Memory (LSTM) networks that employ the covariance information. In particular, we introduce the covariance of the present and one-time step past input vectors into the gating structure of the LSTM networks. Additionally, we include the covariance of the output vector, and we learn their weight matrices to improve the learning performance of the LSTM networks where we also provide their updates. We reduce the number of system parameters through the weight matrix factorization where we convert the LSTM weight matrices into two smaller matrices in order to achieve high learning performance with low computational complexity. Moreover, we apply the introduced approach to the Gated Recurrent Unit (GRU) architecture. In our experiments, we illustrate significant performance improvements achieved by our methods on real-life datasets with respect to the vanilla LSTM and vanilla GRU networks. (C) 2020 Elsevier Inc. All rights reserved.