Natural-gradient descent (NGD) on structured parameter spaces (e.g., low-rank covariances) is computationally challenging due to difficult Fisher-matrix computations. We address this issue by using local-parameter coordinates to obtain a flexible and efficient NGD method that works well for a wide-variety of structured parameterizations. We show four applications where our method (1) generalizes a block-box gradient-free algorithm, (2) recovers existing Newton-like algorithms, (3) yields new structured second-order algorithms via matrix Lie groups, and (4) gives new algorithms to learn covariances of Gaussian and Wishart-based distributions. We show results on a range of problems from deep learning, variational inference, and evolution strategies. Our work opens a new direction for scalable structured geometric methods.

 

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