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math.ST2020★ 13 cited
Optimal Bounds between -Divergences and Integral Probability Metrics
Rohit Agrawal, Thibaut Horel
The families of -divergences (e.g. the Kullback-Leibler divergence) and Integral Probability Metrics (e.g. total variation distance or maximum mean discrepancies) are widely use…
math.ST2015★ 14 cited
The Proximal Robbins-Monro Method
Panos Toulis, Thibaut Horel, Edoardo M. Airoldi
The need for parameter estimation with massive datasets has reinvigorated interest in stochastic optimization and iterative estimation procedures. Stochastic approximations are at…