Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem

DOI10.1287/stsy.2019.0050zbMath1450.60020arXiv1710.04273MaRDI QIDQ5119415

Justin A. Sirignano, Konstantinos V. Spiliopoulos

Publication date: 4 September 2020

Published in: Stochastic Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.04273

zbMATH Keywords

stochastic differential equations; central limit theorem; machine learning; stochastic gradient descent; statistical learning

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60H30: Applications of stochastic analysis (to PDEs, etc.)

62M02: Markov processes: hypothesis testing