Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19040
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dc.contributor.authorEvans, George W.en_US
dc.contributor.authorHonkapohja, Seppoen_US
dc.contributor.authorWilliams, Noahen_US
dc.date.accessioned2009-01-28T15:54:38Z-
dc.date.available2009-01-28T15:54:38Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/19040-
dc.description.abstractWe study the properties of generalized stochastic gradient (GSG) learning in forward-lookingmodels. We examine how the conditions for stability of standard stochastic gradient (SG)learning both differ from and are related to E-stability, which governs stability under leastsquares learning. SG algorithms are sensitive to units of measurement and we show that thereis a transformation of variables for which E-stability governs SG stability. GSG algorithmswith constant gain have a deeper justification in terms of parameter drift, robustness and risksensitivity.en_US
dc.language.isoengen_US
dc.publisher|aCenter for Economic Studies and Ifo Institute (CESifo) |cMunichen_US
dc.relation.ispartofseries|aCESifo Working Paper |x1576en_US
dc.subject.jelC65en_US
dc.subject.jelC62en_US
dc.subject.jelE17en_US
dc.subject.jelE10en_US
dc.subject.jelD83en_US
dc.subject.ddc330en_US
dc.subject.keywordadaptive learningen_US
dc.subject.keywordE-stabilityen_US
dc.subject.keywordrecursive least squaresen_US
dc.subject.keywordrobust estimationen_US
dc.subject.stwRationale Erwartungen_US
dc.subject.stwLernprozessen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwGleichgewichtsstabilitäten_US
dc.subject.stwTheorieen_US
dc.titleGeneralized stochastic gradient learningen_US
dc.typeWorking Paperen_US
dc.identifier.ppn503712469en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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