An Improvement of Stochastic Gradient Descent Approach for Mean-Variance Portfolio Optimization Problem
In this paper, the current variant technique of the stochastic gradient descent (SGD) approach, namely, the adaptive moment estimation (Adam) approach, is improved by adding the standard error in the updating rule. The aim is to fasten the convergence rate of the Adam algorithm. This improvement is...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2021-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2021/8892636 |