10 citations · 10 across the 5 of their papers we have counts for
5 papers
SketchBoost: Fast Gradient Boosted Decision Tree for Multioutput Problems
Leonid Iosipoi, Anton Vakhrushev
Gradient Boosted Decision Tree (GBDT) is a widely-used machine learning algorithm that has been shown to achieve state-of-the-art results on many standard data science problems. We…
Variance reduction for dependent sequences with applications to Stochastic Gradient MCMC
D. Belomestny, L. Iosipoi, E. Moulines +2
In this paper we propose a novel and practical variance reduction approach for additive functionals of dependent sequences. Our approach combines the use of control variates with t…
Variance reduction for Markov chains with application to MCMC
D. Belomestny, L. Iosipoi, E. Moulines +2
In this paper we propose a novel variance reduction approach for additive functionals of Markov chains based on minimization of an estimate for the asymptotic variance of these fun…
Fourier transform MCMC, heavy tailed distributions and geometric ergodicity
Denis Belomestny, Leonid Iosipoi
Markov Chain Monte Carlo methods become increasingly popular in applied mathematics as a tool for numerical integration with respect to complex and high-dimensional distributions.…
Empirical Variance Minimization with Applications in Variance Reduction and Optimal Control
D. Belomestny, L. Iosipoi, Q. Paris +1
We study the problem of empirical minimization for variance-type functionals over functional classes. Sharp non-asymptotic bounds for the excess variance are derived under mild con…