GENERALIZED STOCHASTIC GRADIENT LEARNING
نویسندگان
چکیده
منابع مشابه
Generalized Stochastic Gradient Learning∗
We study the properties of the generalized stochastic gradient (GSG) learning in forward-looking models. GSG algorithms are a natural and convenient way to model learning when agents allow for parameter drift or robustness to parameter uncertainty in their beliefs. The conditions for convergence of GSG learning to a rational expectations equilibrium are distinct from but related to the well-kno...
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We study the properties of generalized stochastic gradient (GSG) learning in forward-looking models. 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 least squares learning. SG algorithms are sensitive to units of measurement and we show that there is a transformation of varia...
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ژورنال
عنوان ژورنال: International Economic Review
سال: 2010
ISSN: 0020-6598,1468-2354
DOI: 10.1111/j.1468-2354.2009.00578.x