Generalized Stochastic Gradient Learning

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Title: Generalized Stochastic Gradient Learning
Author: Evans, George W., 1949-; Honkapohja, Seppo, 1951-
Abstract: We study the properties of generalized stochastic gradient (GSG) learning in forwardlooking models. We examine how the conditions for stability of standard stochastic gradient (SG) learning both differ from and are related to E-stability, which governs stability under least squares learning. SG algorithms are sensitive to units of measurement and we show that there is a transformation of variables for which E-stability governs SG stability. GSG algorithms with constant gain have a deeper justification in terms of parameter drift, robustness and risk sensitivity.
Description: 35 p.
Date: 2005-09-19

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