GENERALIZED STOCHASTIC GRADIENT LEARNING

被引：31
|
作者：
Evans, George W.
Honkapohja, Seppo
Williams, Noah [1 ]
机构：
[1] Univ Wisconsin, Dept Econ, Madison, WI 53706 USA
来源：
INTERNATIONAL ECONOMIC REVIEW | 2010年 / 51卷 / 01期
基金：
英国经济与社会研究理事会;
关键词：
MONETARY-POLICY; NASH INFLATION; STABILITY; EXPECTATIONS; CONVERGENCE; FRAMEWORK; BELIEFS; RULES; MODEL;
D O I：
10.1111/j.1468-2354.2009.00578.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study the properties of the generalized stochastic gradient (GSG) learning in forward-looking models. GSG algorithms are a natural and convenient way to model learning when agents allow for parameter drift or robustness to parameter uncertainty in their beliefs. The conditions for convergence of GSG learning to a rational expectations equilibrium are distinct from but related to the well-known stability conditions for least squares learning.
引用
收藏
页码：237 / 262
页数：26
相关论文
共 50 条
  • [1] Unsupervised learning with stochastic gradient
    Szu, H
    Kopriva, I
    NEUROCOMPUTING, 2005, 68 : 130 - 160
  • [2] Stochastic generalized gradient method for nonconvex nonsmooth stochastic optimization
    Yu. M. Ermol'ev
    V. I. Norkin
    Cybernetics and Systems Analysis, 1998, 34 : 196 - 215
  • [3] Stochastic generalized gradient method for nonconvex nonsmooth stochastic optimization
    Ermol'ev, YM
    Norkin, VI
    CYBERNETICS AND SYSTEMS ANALYSIS, 1998, 34 (02) : 196 - 215
  • [4] Generalized Deterministic Perturbations For Stochastic Gradient Search
    Chandramouli, K.
    Prabuchandran, K. J.
    Reddy, D. Sai Koti
    Bhatnagar, Shalabh
    2018 IEEE CONFERENCE ON DECISION AND CONTROL (CDC), 2018, : 5734 - 5739
  • [5] Thinking Outside the Ball: Optimal Learning with Gradient Descent for Generalized Linear Stochastic Convex Optimization
    Amir, Idan
    Livni, Roi
    Srebro, Nathan
    ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 35, NEURIPS 2022, 2022,
  • [6] STOCHASTIC GRADIENT LEARNING AND INSTABILITY: AN EXAMPLE
    Slobodyan, Sergey
    Bogomolova, Anna
    Kolyuzhnov, Dmitri
    MACROECONOMIC DYNAMICS, 2016, 20 (03) : 777 - 790
  • [7] Stochastic gradient learning in the cobweb model
    Evans, GW
    Honkapohja, S
    ECONOMICS LETTERS, 1998, 61 (03) : 333 - 337
  • [8] Generalized gradient learning on time series
    Brijnesh J. Jain
    Machine Learning, 2015, 100 : 587 - 608
  • [9] Generalized gradient learning on time series
    Jain, Brijnesh J.
    MACHINE LEARNING, 2015, 100 (2-3) : 587 - 608
  • [10] Stochastic Gradient Push for Distributed Deep Learning
    Assran, Mahmoud
    Loizou, Nicolas
    Ballas, Nicolas
    Rabbat, Michael
    INTERNATIONAL CONFERENCE ON MACHINE LEARNING, VOL 97, 2019, 97
12345