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

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

2 July 2020
Sotirios Sabanis
Ying Zhang
ArXiv (abs)PDFHTML

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

2 / 2 papers shown
Langevin dynamics based algorithm e-TH$\varepsilon$O POULA for
  stochastic optimization problems with discontinuous stochastic gradient
Langevin dynamics based algorithm e-THε\varepsilonεO POULA for stochastic optimization problems with discontinuous stochastic gradientMathematics of Operations Research (MOR), 2022
Dongjae Lim
Ariel Neufeld
Sotirios Sabanis
Ying Zhang
292
8
0
24 Oct 2022
Non-asymptotic estimates for TUSLA algorithm for non-convex learning
  with applications to neural networks with ReLU activation function
Non-asymptotic estimates for TUSLA algorithm for non-convex learning with applications to neural networks with ReLU activation functionIMA Journal of Numerical Analysis (IMA J. Numer. Anal.), 2021
Dongjae Lim
Ariel Neufeld
Sotirios Sabanis
Ying Zhang
286
23
0
19 Jul 2021
1
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