Continuous-time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations.
Ziheng WangJustin A. SirignanoPublished in: CoRR (2022)
Keyphrases
- stationary distribution
- stochastic differential equations
- markov chain
- random walk
- queueing networks
- transition probabilities
- queue length
- initial state
- steady state
- sufficient conditions
- loss function
- service times
- machine learning
- state space
- stochastic process
- higher order
- wavelet transform
- pairwise
- reinforcement learning
- learning algorithm