Deep Learning Based Yau-Yau Algorithm for Time-Varying Filtering Problems
组织者
演讲者
孙泽钜
时间
2024年08月07日 14:30 至 15:00
地点
理科楼A-304
摘要
In this talk, I will present the recent progress on deep learning based Yau-Yau algorithm for time-varying filtering problems. A convergence analysis will first be given, with the main idea being generalized from time-invariant case. Theoretically, the deep learning based Yau-Yau algorithm can be implemented with different network structures, such as recurrent neural networks and semi-martingale driven neural stochastic differential equations. The training and implementation details of these two network structures will also be discussed.