Posted on Tue 08 June 2021 in probabilistic programming, changepoint detection, Bayesian
Chad Scherrer has a blog post about how to do Bayesian changepoint detection in PyMC3, in the context of detecting changepoint associated with the yearly number of coal mining disasters. Here we will see how to implement the same model in Pyro, a probabilistic programming language and environment using PyTorch …
Posted on Sat 12 October 2019 in reinforcement learning
%reload_ext autoreload
%autoreload 2
%matplotlib inline
In an SSRN paper, Petter Kolm and Gordon Ritter present the application of reinforcement learning for model-free European call option hedging. Unfortunately, there does not seem to be any code made available to accompany this paper. Here we try to replicate the results of …
Posted on Sat 21 September 2019 in misc
After some extended hiatus, trying to pick up writing this blog again. I have also decided to migrate to Pelican.
I have found these resources to be useful during the migration:
Posted on Sat 25 June 2016 in deep learning
Setup: 2x Xeon E5 2670, 128GB RAM, Nvidia Geforce GTX 980 Ti (6GB), Ubuntu 14.04, CUDA 7.5, Anaconda 4.0 running Python 2.7, Theano 0.8.2 (CNMem turned on), TensorFlow 0.9.0, CuDNN 4
Each time is time for the first epoch. There is also …