5 citations · 10 across the 6 of their papers we have counts for
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cs.LG2021
Viking: Variational Bayesian Variance Tracking
Joseph de Vilmarest, Olivier Wintenberger
We consider the problem of time series forecasting in an adaptive setting. We focus on the inference of state-space models under unknown and potentially time-varying noise variance…
cs.LG2020★ 5 cited
Stochastic Online Optimization using Kalman Recursion
Joseph de Vilmarest, Olivier Wintenberger
We study the Extended Kalman Filter in constant dynamics, offering a bayesian perspective of stochastic optimization. We obtain high probability bounds on the cumulative excess ris…
cs.LG2019
Logarithmic Regret for parameter-free Online Logistic Regression
Joseph De Vilmarest, Olivier Wintenberger
We consider online optimization procedures in the context of logistic regression, focusing on the Extended Kalman Filter (EKF). We introduce a second-order algorithm close to the E…