jankrepl / deepdow

Portfolio optimization with deep learning.
https://deepdow.readthedocs.io
Apache License 2.0
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Clipping in gradient_wrt_input #32

Open jankrepl opened 4 years ago

jankrepl commented 4 years ago

Currently, we implement one "Explainable" algorithm in deepdow.explain.gradient_wrt_input. The problem is that we do not restrict the values the input can have. One solution would be to implement some projection/clipping logic that takes place after each optimizer step and thus forces the values to be in a given range.

See https://arxiv.org/pdf/1702.04782.pdf