Generalized Stochastic Gradient Learning

26 Pages Posted: 1 Mar 2010

See all articles by George W. Evans

George W. Evans

University of Oregon - Department of Economics; University of St. Andrews - School of Economics and Finance

Seppo Honkapohja

Centre for Economic Policy Research (CEPR); Aalto University School of Business; CESifo (Center for Economic Studies and Ifo Institute for Economic Research); Aalto University - School of Business

Noah Williams

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

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Abstract

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.

Suggested Citation

Evans, George W. and Honkapohja, Seppo and Honkapohja, Seppo and Williams, Noah, Generalized Stochastic Gradient Learning. International Economic Review, Vol. 51, Issue 1, pp. 237-262, February 2010, Available at SSRN: https://ssrn.com/abstract=1560178 or http://dx.doi.org/10.1111/j.1468-2354.2009.00578.x

George W. Evans (Contact Author)

University of Oregon - Department of Economics ( email )

1285 University of Oregon
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University of St. Andrews - School of Economics and Finance ( email )

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Seppo Honkapohja

Aalto University School of Business ( email )

, PO Box 21210
Aalto FI-00076
Finland

Centre for Economic Policy Research (CEPR)

London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute for Economic Research)

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Germany

HOME PAGE: http://www.CESifo.de

Aalto University - School of Business

Finland

Noah Williams

Princeton University - Department of Economics ( email )

Fisher Hall
Princeton, NJ 08544-1021
United States

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
United States

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