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Quantitative Finance · Glossaire

Qu'est-ce que « Supervised and unsupervised learning » ?

Aussi appelé : supervised learning · unsupervised learning

Definition 1.1 Machine Learning for Markets · Chapitre 1 — Why Financial Machine Learning Is Different

Supervised learning fits a function fθf_\theta from features x∈Rpx\in\mathbb R^p to a target yy on examples (xi,yi)(x_i, y_i), i=1,…,ni = 1,\dots,n, by minimising an empirical loss Ln(θ)=1n∑iℓ(yi,fθ(xi))\mathcal L_n(\theta) = \frac1n\sum_i\ell(y_i, f_\theta(x_i)), so that fθf_\theta predicts yy for new xx. Unsupervised learning has no target: it describes the distribution of xx itself (clusters, factors, a lower-dimensional representation, a density).

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