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deviations theory to the linear diffusion approximation of the original discrete-time dynamics under learning. We characterize … relatively well. We express reservations regarding the applicability of any approach based on large deviations theory to … dimension without resort to large deviations theory. This procedure delivers mean escape time results that fit the simulations …
Persistent link: https://www.econbiz.de/10010730088
constant gain. This approach is based on applying results of continuous—time version of large deviations theory to the … by CWS. We express reservations regarding applicability of escape dynamics theory to characterization of mean escape time … considerations and formulae generate much better mean escape time results than the large deviations theory. We explain it by …
Persistent link: https://www.econbiz.de/10005086597
In this paper, we perform an in—depth investigation of relative merits of two adaptive learning algorithms with constant gain, Recursive Least Squares (RLS) and Stochastic Gradient (SG), using the Phelps model of monetary policy as a testing ground. The behavior of the two learning algorithms...
Persistent link: https://www.econbiz.de/10005086661