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02/01/2023
Privacy Risk for anisotropic Langevin dynamics using relative entropy bounds
The privacy preserving properties of Langevin dynamics with additive iso...
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12/20/2022
Using Witten Laplacians to locate index-1 saddle points
We introduce a new stochastic algorithm to locate the index-1 saddle poi...
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06/25/2021
Parameter Estimation for the McKean-Vlasov Stochastic Differential Equation
In this paper, we consider the problem of parameter estimation for a sto...
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07/15/2020
On stochastic mirror descent with interacting particles: convergence properties and variance reduction
An open problem in optimization with noisy information is the computatio...
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10/25/2019
Towards Robust and Stable Deep Learning Algorithms for Forward Backward Stochastic Differential Equations
Applications in quantitative finance such as optimal trade execution, ri...
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05/31/2019
Majorisation-minimisation algorithms for minimising the difference between lattice submodular functions
We consider the problem of minimising functions represented as a differe...
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05/10/2019
The sharp, the flat and the shallow: Can weakly interacting agents learn to escape bad minima?
An open problem in machine learning is whether flat minima generalize be...
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02/07/2019