Yu Wang

collaborators

3 papers

math.PR2024

Unbiased approximation of the ergodic measure for piecewise $I^\pm$ -stable Ornstein-Uhlenbeck processes arising in queueing networks

Xinghu Jin, Guodong Pang, Yu Wang +1

Piecewise $I^\pm$ -stable Ornstein-Uhlenbeck (OU) processes arising in queue networks usually do not have an explicit dissipation, which makes the related numerical methods such as Eul…

math.ST2024

Robust estimation for high-dimensional time series with heavy tails

Yu Wang, Guodong Li, Zhijie Xiao +2

We study in this paper the problem of least absolute deviation (LAD) regression for high-dimensional heavy-tailed time series which have finite $I^\pm$ -th moment with $I^\pm \in (1, 2]$ . T…

stat.ML2024

Error estimates between SGD with momentum and underdamped Langevin diffusion

Arnaud Guillin, Yu Wang, Lihu Xu +1

Stochastic gradient descent with momentum is a popular variant of stochastic gradient descent, which has recently been reported to have a close relationship with the underdamped La…

Unbiased approximation of the ergodic measure for piecewise I^±-stable Ornstein-Uhlenbeck processes arising in queueing networks

Robust estimation for high-dimensional time series with heavy tails

Error estimates between SGD with momentum and underdamped Langevin diffusion

Unbiased approximation of the ergodic measure for piecewise $I^\pm$ -stable Ornstein-Uhlenbeck processes arising in queueing networks