update_lambda: Update lambda

In ffstream: Forgetting Factor Methods for Change Detection in Streaming Data

Update lambda

Description

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

Usage

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 \epsilon.
deriv_new	The value of the derivative at the current time.

ffstream documentation built on May 31, 2023, 7:53 p.m.