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Juan-Pablo Ortega Lahuerta
Last Name
Ortega Lahuerta
First name
Juan-Pablo
Email
juan-pablo.ortega@unisg.ch
Phone
+41 71 224 2476
Homepage
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1 - 4 of 4
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PublicationMemory of recurrent networks: Do we compute it right?( 2023-05-02)Numerical evaluations of the memory capacity (MC) of recurrent neural networks reported in the literature often contradict well-established theoretical bounds. In this paper, we study the case of linear echo state networks, for which the total memory capacity has been proven to be equal to the rank of the corresponding Kalman controllability matrix. We shed light on various reasons for the inaccurate numerical estimations of the memory, and we show that these issues, often overlooked in the recent literature, are of an exclusively numerical nature. More explicitly, we prove that when the Krylov structure of the linear MC is ignored, a gap between the theoretical MC and its empirical counterpart is introduced. As a solution, we develop robust numerical approaches by exploiting a result of MC neutrality with respect to the input mask matrix. Simulations show that the memory curves that are recovered using the proposed methods fully agree with the theory.Type: journal article
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PublicationPredicting U.S. Bank Failures with MIDAS Logit Models(Graduate School of Business Administration, 2019-12)Type: journal articleJournal: Journal of Financial and Quantitative AnalysisVolume: 54Issue: 6
Scopus© Citations 25 -
PublicationRisk bounds for reservoir computing( 2019-09-19)
;Grigoryeva, LyudmilaType: conference paper -
PublicationThe Universality Problem in Dynamic Machine Learning with Applications to Realized Covolatilities Forecasting( 2019-06-07)
;Grigoryeva, LyudmilaType: conference paper