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13

NPL
2006

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How Online Learning Approaches Ornstein Uhlenbeck Processes

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How Online Learning Approaches Ornstein Uhlenbeck Processes

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We show that under reasonable conditions, online learning for a nonlinear function near a local minimum is similar to a multivariate Ornstein Uhlenbeck process. This implies that the parameter state oscillates randomly around the minimum point, with a Gaussian limiting distribution.

Fredrik A. Dahl

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Gaussian Limiting Distribution | Local Minimum | Multivariate Ornstein Uhlenbeck | NPL 2006 |

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Added	14 Dec 2010
Updated	14 Dec 2010
Type	Journal
Year	2006
Where	NPL
Authors	Fredrik A. Dahl

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