Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem
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Publication:5119415
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
stochastic differential equations; central limit theorem; machine learning; stochastic gradient descent; statistical learning
60F05: Central limit and other weak theorems
60H30: Applications of stochastic analysis (to PDEs, etc.)
62M02: Markov processes: hypothesis testing