Stochastic Gradient Descent in Continuous Time.
Justin A. SirignanoKonstantinos SpiliopoulosPublished in: SIAM J. Financial Math. (2017)
Keyphrases
- stochastic gradient descent
- least squares
- matrix factorization
- step size
- loss function
- markov chain
- random forests
- support vector machine
- online algorithms
- weight vector
- importance sampling
- regularization parameter
- multiple kernel learning
- image processing
- random forest
- logistic regression
- bayesian inference
- collaborative filtering
- cost function
- state space
- support vector