Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent.

Ankush Agarwal Andrea Amato Gonçalo Dos Reis Stefano Pagliarani

Published in: CoRR (2023)

Keyphrases

stochastic gradient descent
least squares
loss function
step size
importance sampling
matrix factorization
random forests
regularization parameter
closed form
image sequences
cross validation
weight vector
online algorithms
markov chain
graphical models
support vector machine
cost function
support vector