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Differential Machine Learning by Brian Huge & Antoine Savine

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@differential-machine-learning

Demonstration notebooks and additional material for the Risk articles on differential machine learning by Brian Huge and Antoine Savine (2020-2021)

arxiv.org/abs/2005.02347

notebooks. Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.

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appendices. Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production

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