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Quantitative Finance · Glossary

What is Backpropagation, mini-batch, epoch?

Also known as: backpropagation · mini-batch · epoch

Definition 7.2 Machine Learning for Markets · Chapter 7 — Neural Networks for Noisy Tabular Data

Backpropagation computes the gradient of the loss with respect to every parameter of a network by reverse-mode algorithmic differentiation (Book 4, chapter 28): one forward pass stores the layers’ values, one backward pass propagates ∂L/∂zl\partial\mathcal L/\partial z_l from the output to the input. A mini-batch is the random subset of training rows on which one gradient step is computed; an epoch is one pass over the training set in mini-batches.

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