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11/12/2022
Spectral bootstrap confidence bands for Lévy-driven moving average processes
In this paper we study the problem of constructing bootstrap confidence ...
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05/05/2021
Model-free policy evaluation in Reinforcement Learning via upper solutions
In this work we present an approach for building tight model-free confid...
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08/16/2020
Variance reduction for dependent sequences with applications to Stochastic Gradient MCMC
In this paper we propose a novel and practical variance reduction approa...
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10/08/2019
Variance reduction for Markov chains with application to MCMC
In this paper we propose a novel variance reduction approach for additiv...
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06/22/2019
Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm
In this article we propose a Weighted Stochastic Mesh (WSM) Algorithm fo...
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03/18/2019
Variance reduction for MCMC methods via martingale representations
In this paper we propose an efficient variance reduction approach for MC...
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12/13/2017