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math.ST2020★ 1 cited
Asymptotic Analysis of Conditioned Stochastic Gradient Descent
Rémi Leluc, François Portier
In this paper, we investigate a general class of stochastic gradient descent (SGD) algorithms, called Conditioned SGD, based on a preconditioning of the gradient direction. Using a…
math.ST2019
Control variate selection for Monte Carlo integration
Rémi Leluc, François Portier, Johan Segers
Monte Carlo integration with variance reduction by means of control variates can be implemented by the ordinary least squares estimator for the intercept in a multiple linear regre…