A fully data-driven approach to minimizing CVaR for portfolio of assets via SGLD with discontinuous updating

2 July 2020

Sotirios Sabanis

Papers citing "A fully data-driven approach to minimizing CVaR for portfolio of assets via SGLD with discontinuous updating"

2 / 2 papers shown

Title
$Langevin dynamics based algorithm e-TH$\varepsilon$O POULA for stochastic optimization problems with discontinuous stochastic gradient$ Langevin dynamics based algorithm e-TH $\varepsilon$ O POULA for stochastic optimization problems with discontinuous stochastic gradient Dongjae Lim Ariel Neufeld Sotirios Sabanis Ying Zhang 66 7 0 24 Oct 2022
Non-asymptotic estimates for TUSLA algorithm for non-convex learning with applications to neural networks with ReLU activation function Dongjae Lim Ariel Neufeld Sotirios Sabanis Ying Zhang 80 20 0 19 Jul 2021