Quantcast – a Risk.net Cutting Edge podcast cover image

Antonov and Piterbarg – 22/11/22

Quantcast – a Risk.net Cutting Edge podcast

CHAPTER

The Functional Tensor Train

If you have a two dimensional matrix, there is a concept of a rank. And often, the problem is try to approximate the matrix of full rank with a matrix of a lower rank. What you do is you reduce dimension, which feeds into our explainability objective. Because then you can much clearer say what is the role of each of the arguments.

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