Mateusz B. Majka

activity

20152026

most citedCoupling and exponential ergodicity for stochastic differential equations driven by Lévy processes

40 citations · 69 across the 16 of their papers we have counts for

collaborators

Showing math.NAShow all

2 papers · 1 filter

math.NA2026

On the computational cost of Stochastic Gradient Langevin Dynamics

Mateusz B. Majka, Tigran Nagapetyan, Łukasz Szpruch +2

Stochastic Gradient Langevin Dynamics (SGLD) reduces the cost of Langevin-based sampling by replacing full-dataset drift evaluations with mini-batch approximations, but the resulti…

math.NA2016

Multilevel Monte Carlo methods for the approximation of invariant measures of stochastic differential equations

Michael B. Giles, Mateusz B. Majka, Lukasz Szpruch +2

We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles2015) to calculate expectations with respect to the invariant measure of an ergod…