4 citations · 8 across the 9 of their papers we have counts for
4 papers · 1 filter
On Adaptive Stochastic Optimization for Streaming Data: A Newton's Method with O(dN) Operations
Antoine Godichon-Baggioni, Nicklas Werge
Stochastic optimization methods encounter new challenges in the realm of streaming, characterized by a continuous flow of large, high-dimensional data. While first-order methods, l…
Demystifying the Myths and Legends of Nonconvex Convergence of SGD
Aritra Dutta, El Houcine Bergou, Soumia Boucherouite +3
Stochastic gradient descent (SGD) and its variants are the main workhorses for solving large-scale optimization problems with nonconvex objective functions. Although the convergenc…
Weighted Sequential Bayesian Inference for Non-Stationary Linear Contextual Bandits
Nicklas Werge, Yi-Shan Wu, Abdullah Akgül +1
In non-stationary linear contextual bandits, existing efficient algorithms typically rely on the Weighted Regularized Least-Squares (WRLS) estimator. Because WRLS only provides poi…
An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition
Joseph de Vilmarest, Nicklas Werge
In this paper, we address the problem of probabilistic forecasting using an adaptive volatility method rooted in classical time-varying volatility models and leveraging online stoc…