O seminarium

Terminy i tematyka spotkań

środa, 07-11-2018 - 14:15, 711/712
Topics on stochastic optimization and long-time approximation of stochastic processes
Fabien Panloup (Angers)
Stochastic optimization is a way of approximating minima of deterministic functions by a stochastic approach. I will begin my talk by some background on this topic and on the Robbins-Monro algorithm. Then, I will state some recent non-asymptotic results about Ruppert-Polyak algorithm, which is an averaged version of the Robbins-Monro algorithm. In a last part, I will briefly introduce the problem of long-time approximation of diffusion processes and its link with approximation of Gibbs distributions. I will conclude some statistical applications of these methods. This talk is based on collaborations with Sébastien Gadat and Gilles Pagès
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