Axes that matter: PCA with a difference

Code

• github.com/differential-machine-learning/notebooks
  OfficialIn papertf★ 148

Abstract

We extend the scope of differential machine learning and introduce a new breed of supervised principal component analysis to reduce dimensionality of Derivatives problems. Applications include the specification and calibration of pricing models, the identification of regression features in least-square Monte-Carlo, and the pre-processing of simulated datasets for (differential) machine learning.

Tasks

Reproductions