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Stochastic gradient descent (SGD) holds as a classical method to build large scale machine learning models over big data. A stochastic gradient is typically calculated from a limited number of samples (known as mini-batch), which potentially incurs a high variance and causes the estimated parameters to bounce around the optimal solution. To improve the stability of stochastic gradient, recent years...
For ARMAX models, a Latest-Estimation Based Hierarchical Recursive Extended Least Squares algorithm is presented in this paper. The basic idea is to make full use of the latest estimation, and combine this with the hierarchical idea. In the proposed algorithm, the estimates of the white noise information vector is updated by using the latest estimation. The convergence performance of the proposed...
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