Abstract

http://ssrn.com/abstract=852504
 
 

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Generalized Stochastic Gradient Learning


George W. Evans


University of Oregon - Department of Economics; University of Saint Andrews - School of Economics and Finance

Seppo Honkapohja


Bank of Finland; Centre for Economic Policy Research (CEPR); CESifo (Center for Economic Studies and Ifo Institute for Economic Research)

Noah Williams


Princeton University - Department of Economics; National Bureau of Economic Research (NBER)

October 2005

CESifo Working Paper No. 1576

Abstract:     
We study the properties of generalized stochastic gradient (GSG) learning in forward-looking 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.

Number of Pages in PDF File: 40

Keywords: adaptive learning, E-stability, recursive least squares, robust estimation

JEL Classification: C62, C65, D83, E10, E17

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Date posted: November 21, 2005  

Suggested Citation

Evans, George W. and Honkapohja, Seppo and Williams, Noah, Generalized Stochastic Gradient Learning (October 2005). CESifo Working Paper No. 1576. Available at SSRN: http://ssrn.com/abstract=852504

Contact Information

George W. Evans
University of Oregon - Department of Economics ( email )
1285 University of Oregon
Eugene, OR 97403
United States
541-346-4662 (Phone)
541-346-1243 (Fax)
University of Saint Andrews - School of Economics and Finance ( email )
The Scores, Castlecliff
St. Andrews, Fife KY16 8RD
United Kingdom
44-1334-462435 (Phone)
HOME PAGE: http://www.st-andrews.ac.uk/economics/staff/pages.g.evans.shtml
Seppo Honkapohja (Contact Author)
Bank of Finland ( email )
P.O. Box 160
FIN-00101 Helsinki
Finland
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
CESifo (Center for Economic Studies and Ifo Institute for Economic Research)
Poschinger Str. 5
Munich, DE-81679
Germany
HOME PAGE: http://www.CESifo.de
Noah Williams
Princeton University - Department of Economics ( email )
Fisher Hall
Princeton, NJ 08544-1021
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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