Search Results - subject:"stochastic gradient"

Estimating credit risk parameters using ensemble learning methods : an empirical study on loss given default

Sun, Han Sheng; Jin, Zi - In: The journal of credit risk : published quarterly by … 12 (2016) 3, pp. 43-69

Persistent link: https://www.econbiz.de/10011643773

Convergence and convergence rate of stochastic gradient search in the case of multiple and non-isolated extrema

Tadić, Vladislav B. - In: Stochastic Processes and their Applications 125 (2015) 5, pp. 1715-1755

The asymptotic behavior of stochastic gradient algorithms is studied. Relying on results from differential geometry …

Persistent link: https://www.econbiz.de/10011209773

A Note on the Representative Adaptive Learning Algorithm

Galimberti, Jaqueson; Berardi, Michele - KOF Swiss Economic Institute, Department of Management, … - 2014

We compare forecasts from different adaptive learning algorithms and calibrations applied to US real-time data on inflation and growth. We find that the Least Squares with constant gains adjusted to match (past) survey forecasts provides the best overall performance both in terms of forecasting...

Persistent link: https://www.econbiz.de/10010762441

A note on the representative adaptive learning algorithm

Berardi, Michele; Galimberti, Jaqueson K. - In: Economics Letters 124 (2014) 1, pp. 104-107

Persistent link: https://www.econbiz.de/10010784969

A sparsity preserving stochastic gradient methods for sparse regression

Lin, Qihang; Chen, Xi; Peña, Javier - In: Computational Optimization and Applications 58 (2014) 2, pp. 455-482

properties of our algorithm. Unlike existing stochastic gradient methods with optimal convergence rates, our algorithm has the …

Persistent link: https://www.econbiz.de/10010998369

Regression models augmented with direct stochastic gradient estimators

Fu, Michael; Qu, Huashuai - In: INFORMS journal on computing : JOC 26 (2014) 3, pp. 484-499

Persistent link: https://www.econbiz.de/10010399808

A note on the representative adaptive learning algorithm

Berardi, Michele; Galimberti, Jaqueson K. - 2014

Persistent link: https://www.econbiz.de/10010344932

Learnability of e-stable equilibria

Christev, Atanas; Slobodyan, Sergey - In: Macroeconomic dynamics 18 (2014) 5, pp. 959-984

Persistent link: https://www.econbiz.de/10010467406

A note on the representative adaptive learning algorithm

Berardi, Michele; Galimberti, Jaqueson K. - In: Economics letters 124 (2014) 1, pp. 104-107

Persistent link: https://www.econbiz.de/10010490580

Stochastic Gradient versus Recursive Least Squares Learning

Slobodyan, Sergey; Bogomolova, Anna; Kolyuzhnov, Dmitri - Center for Economic Research and Graduate Education and … - 2006

constant gain, Recursive Least Squares (RLS) and Stochastic Gradient (SG), using the Phelps model of monetary policy as a …

Persistent link: https://www.econbiz.de/10005086661