Narrow search
Showing 1 - 2 of 2
Cover Image
Escape Dynamics: A Continuous—Time Approximation
Kolyuzhnov, Dmitri; Bogomolova, Anna; Slobodyan, Sergey - Center for Economic Research and Graduate Education and … - 2006
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
Cover Image
Stochastic Gradient versus Recursive Least Squares Learning
Slobodyan, Sergey; Bogomolova, Anna; Kolyuzhnov, Dmitri - Center for Economic Research and Graduate Education and … - 2006
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