Stochastic Gradient Descent in Continuous Time
نویسندگان
چکیده
منابع مشابه
Stochastic Gradient Descent in Continuous Time
We consider stochastic gradient descent for continuous-time models. Traditional approaches for the statistical estimation of continuous-time models, such as batch optimization, can be impractical for large datasets where observations occur over a long period of time. Stochastic gradient descent provides a computationally efficient method for such statistical learning problems. The stochastic gr...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2017
ISSN: 1945-497X
DOI: 10.1137/17m1126825