update_lambda: Update lambda

Description

Update the forgetting factor lambda using the derivative of a particular cost function

Usage

1
update_lambda(lambda_old, signchosen, alpha, deriv_new)

Arguments

lambda_old

The old (previous) value of lambda.

signchosen

Either +1 or -1. Usually -1.

alpha

The value of the step-size in the gradient descent. In the paper this is named ε.

deriv_new

The value of the derivative at the current time.


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