Two-stage multi-innovation stochastic gradient algorithm for multivariate output-error ARMA systems based on the auxiliary model.
Qinyao LiuFeng DingQuanmin ZhuTasawar HayatPublished in: Int. J. Syst. Sci. (2019)
Keyphrases
- stochastic gradient
- input data
- probabilistic model
- objective function
- cost function
- em algorithm
- exponentiated gradient
- learning algorithm
- bayesian framework
- parameter estimation
- expectation maximization
- optimization algorithm
- kalman filter
- prior information
- stochastic gradient descent
- np hard
- linear model
- autoregressive
- average case
- collaborative filtering