5 citations · 5 across the 3 of their papers we have counts for
3 papers
stat.ML2021★ 5 cited
On the Stability of Random Matrix Product with Markovian Noise: Application to Linear Stochastic Approximation and TD Learning
Alain Durmus, Eric Moulines, Alexey Naumov +2
This paper studies the exponential stability of random matrix products driven by a general (possibly unbounded) state space Markov chain. It is a cornerstone in the analysis of sto…
math.ST2020
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…
math.ST2019
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…